On the Advent of Fractional Calculus in Econophysics via Continuous-Time Random Walk
In this survey article, at first, the author describes how he was involved in the late 1990s on Econophysics, considered in those times an emerging science. Inside a group of colleagues the methods of the Fractional Calculus were developed to deal with the continuous-time random walks adopted to mod...
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| Format: | Article |
| Language: | English |
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MDPI AG
2020-04-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/8/4/641 |
| _version_ | 1797570061892845568 |
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| author | Francesco Mainardi |
| author_facet | Francesco Mainardi |
| author_sort | Francesco Mainardi |
| collection | DOAJ |
| description | In this survey article, at first, the author describes how he was involved in the late 1990s on Econophysics, considered in those times an emerging science. Inside a group of colleagues the methods of the Fractional Calculus were developed to deal with the continuous-time random walks adopted to model the tick-by-tick dynamics of financial markets Then, the analytical results of this approach are presented pointing out the relevance of the Mittag-Leffler function. The consistence of the theoretical analysis is validated with fitting the survival probability for certain futures (BUND and BTP) traded in 1997 at LIFFE, London. Most of the theoretical and numerical results (including figures) reported in this paper were presented by the author at the first Nikkei symposium on Econophysics, held in Tokyo on November 2000 under the title “Empirical Science of Financial Fluctuations” on behalf of his colleagues and published by Springer. The author acknowledges Springer for the license permission of re-using this material. |
| first_indexed | 2024-03-10T20:19:44Z |
| format | Article |
| id | doaj.art-df0ad82083f5453797fcf225c18bc09b |
| institution | Directory Open Access Journal |
| issn | 2227-7390 |
| language | English |
| last_indexed | 2024-03-10T20:19:44Z |
| publishDate | 2020-04-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj.art-df0ad82083f5453797fcf225c18bc09b2023-11-19T22:19:18ZengMDPI AGMathematics2227-73902020-04-018464110.3390/math8040641On the Advent of Fractional Calculus in Econophysics via Continuous-Time Random WalkFrancesco Mainardi0Department of Physics and Astronomy, University of Bologna, & The National Institute of Nuclear Physics (INFN), Via Irnerio 46, I-40126 Bologna, ItalyIn this survey article, at first, the author describes how he was involved in the late 1990s on Econophysics, considered in those times an emerging science. Inside a group of colleagues the methods of the Fractional Calculus were developed to deal with the continuous-time random walks adopted to model the tick-by-tick dynamics of financial markets Then, the analytical results of this approach are presented pointing out the relevance of the Mittag-Leffler function. The consistence of the theoretical analysis is validated with fitting the survival probability for certain futures (BUND and BTP) traded in 1997 at LIFFE, London. Most of the theoretical and numerical results (including figures) reported in this paper were presented by the author at the first Nikkei symposium on Econophysics, held in Tokyo on November 2000 under the title “Empirical Science of Financial Fluctuations” on behalf of his colleagues and published by Springer. The author acknowledges Springer for the license permission of re-using this material.https://www.mdpi.com/2227-7390/8/4/641econophysicscontinuous-time random walk (CTRW)fractional calculusMittag–Leffler functionsLaplace transformFourier transform |
| spellingShingle | Francesco Mainardi On the Advent of Fractional Calculus in Econophysics via Continuous-Time Random Walk Mathematics econophysics continuous-time random walk (CTRW) fractional calculus Mittag–Leffler functions Laplace transform Fourier transform |
| title | On the Advent of Fractional Calculus in Econophysics via Continuous-Time Random Walk |
| title_full | On the Advent of Fractional Calculus in Econophysics via Continuous-Time Random Walk |
| title_fullStr | On the Advent of Fractional Calculus in Econophysics via Continuous-Time Random Walk |
| title_full_unstemmed | On the Advent of Fractional Calculus in Econophysics via Continuous-Time Random Walk |
| title_short | On the Advent of Fractional Calculus in Econophysics via Continuous-Time Random Walk |
| title_sort | on the advent of fractional calculus in econophysics via continuous time random walk |
| topic | econophysics continuous-time random walk (CTRW) fractional calculus Mittag–Leffler functions Laplace transform Fourier transform |
| url | https://www.mdpi.com/2227-7390/8/4/641 |
| work_keys_str_mv | AT francescomainardi ontheadventoffractionalcalculusineconophysicsviacontinuoustimerandomwalk |