Results 11 to 20 of about 3,440,867 (293)
Fractional integration and cointegration in US financial time series data [PDF]
, 2011 This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets ...
Caporale, GM, Gil-Alana, LA
core +7 more sources
Fractional calculus of periodic distributions [PDF]
, 2011 Two approaches for defining fractional derivatives of periodic distributions are presented. The first is a distributional version of the Weyl fractional derivative in which a derivative of arbitrary order of a periodic distribution is defined via Fourier
Lamb, Wilson +5 more
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A Generalized Diffusion Equation: Solutions and Anomalous Diffusion
Fluids, 2023 We investigate the solutions of a generalized diffusion-like equation by considering a spatial and time fractional derivative and the presence of non-local terms, which can be related to reaction or adsorption–desorption processes.
Ervin K. Lenzi +4 more
doaj +1 more source
Fractional monetary dynamics [PDF]
Applied Economics, 1999 We test for fractional dynamics in US monetary series, their various formulations and components, and velocity series. Using the spectral regression method, we find evidence of a fractional exponent in the differencing process of the monetary series (both simple-sum and Divisia indices), in their components (with the exception of demand deposits ...
John Barkoulas +2 more
openaire +1 more source
Complex and Fractional Dynamics [PDF]
Entropy, 2017 Complex systems (CS) are pervasive in many areas, namely financial markets; highway transportation; telecommunication networks; world and country economies; social networks; immunological systems; living organisms; computational systems; and electrical and mechanical structures.
J. A. Tenreiro Machado +1 more
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Dynamical Fractional and Multifractal Fields [PDF]
Journal of Statistical Physics, 2021 Motivated by the modeling of three-dimensional fluid turbulence, we define and study a class of stochastic partial differential equations (SPDEs) that are randomly stirred by a spatially smooth and uncorrelated in time forcing term. To reproduce the fractional, and more specifically multifractal, regularity nature of fully developed turbulence, these ...
Apolinario, Gabriel Brito +2 more
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On fractional dynamic faults with thresholds [PDF]
Theoretical Computer Science, 2006 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Stefan Dobrev +3 more
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Anomalous Relaxation and Three-Level System: A Fractional Schrödinger Equation Approach
Quantum Reports, 2023 We investigate a three-level system in the context of the fractional Schrödinger equation by considering fractional differential operators in time and space, which promote anomalous relaxations and spreading of the wave packet.
Ervin K. Lenzi +5 more
doaj +1 more source
FRACTIONAL DYNAMICS IN FINANCIAL INDICES [PDF]
International Journal of Bifurcation and Chaos, 2012 The goal of this study is the analysis of the dynamical properties of financial data series from 32 worldwide stock market indices during the period 2000–2009 at a daily time horizon. Stock market indices are examples of complex interacting systems for which a huge amount of data exists.
J. Tenreiro Machado +2 more
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Rough Homogenisation with Fractional Dynamics [PDF]
, 2021 We review recent developments of slow/fast stochastic differential equations, and also present a new result on Diffusion Homogenisation Theory with fractional and non-strong-mixing noise and providing new examples. The emphasise of the review will be on the recently developed effective dynamic theory for two scale random systems with fractional noise ...
Gehringer, Johann, Li, Xue-Mei
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