Browse by Authors

November 1999

McCauley, Joseph L. (1999): The Futility of Utility: how market dynamics marginalize Adam Smith. Published in: Physica A , Vol. 285, (2000): pp. 506-538.

2003

McCauley, Joseph L. and Gunaratne, Gemunu H. (2003): On CAPM and Black-Scholes, differing risk-return strategies. Published in: Physica A , Vol. 329, (0203): pp. 170-177.

McCauley, Joseph L. and Gunaratne, Gemunu H. (2003): An empirical model of volatility of returns and option pricing. Published in: Physica A , Vol. 329, (2003): pp. 178-198.

2004

McCauley, Joseph L. and Küffner, Cornelia M. (2004): Economic system dynamics. Published in: Discrete Dynamics in Nature and Society , Vol. 1, (2004): pp. 213-220.

March 2004

McCauley, Joseph L. (2004): Making dynamic modelling effective in economics. Published in: Physica A , Vol. 355, (2005): pp. 1-9.

October 2004

McCauley, Joseph L. (2004): What Economists can learn from physics and finance.

1 December 2005

Bassler, Kevin E. and Gunaratne, Gemunu H. and McCauley, Joseph L. (2005): Hurst exponents, Markov processes, and nonlinear diffusion equations. Published in: Physica A , Vol. 369, (2006): pp. 343-353.

29 May 2006

McCauley, Joseph L. (2006): Response to worrying trends in econophysics. Published in: Physica A , Vol. 371, No. 2 (15 November 2006): pp. 601-609.

30 September 2006

McCauley, Joseph L. and Gunaratne, Gemunu H. and Bassler, Kevin E. (2006): Hurst exponents, Markov processes, and fractional Brownian motion. Forthcoming in: Physica A (2007)

Bassler, Kevin E. and McCauley, Joseph L. and Gunaratne, Gemunu H. (2006): Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets.

8 January 2007

McCauley, Joseph L. and Gunaratne, Gemunu H. and Bassler, Kevin E. (2007): Martingale option pricing. Forthcoming in: Physica A (2007)

February 2007

McCauley, Joseph L. and Bassler, Kevin E. and Gunaratne, Gemunu H. (2007): Martingales, Detrending Data, and the Efficient Market Hypothesis.

22 February 2007

McCauley, Joseph L. (2007): Fokker-Planck and Chapman-Kolmogorov equations for Ito processes with finite memory.

12 October 2007

McCauley, Joseph L. and Bassler, Kevin E. and Gunaratne, Gemunu h. (2007): Martingales, the efficient market hypothesis, and spurious stylized facts.

17 October 2007

Bassler, Kevin E. and Gunaratne, Gemunu H. and McCauley, Joseph L. (2007): Empirically Based Modeling in the Social Sciences and Spurious Stylized Facts.

16 November 2007

McCauley, Joseph L. (2007): Ito Processes with Finitely Many States of Memory.