A fractional perspective to financial indices

The application of mathematical methods and computer algorithms in the analysis of economic and financial data series aims to give empirical descriptions of the hidden relations between many complex or unknown variables and systems. This strategy overcomes the requirement for building models based on a set of ‘fundamental laws’, which is the paradigm for studying phenomena usual in physics and engineering. In spite of this shortcut, the fact is that financial series demonstrate to be hard to tackle, involving complex memory effects and a apparently chaotic behaviour. Several measures for describing these objects were adopted by market agents, but, due to their simplicity, they are not capable to cope with the diversity and complexity embedded in the data. Therefore, it is important to propose new measures that, on one hand, are highly interpretable by standard personal but, on the other hand, are capable of capturing a significant part of the dynamical effects.

Some pioneers of the applications of fractional calculus

In the last decades fractional calculus (FC) became an area of intensive research and development. This paper goes back and recalls important pioneers that started to apply FC to scientific and engineering problems during the nineteenth and twentieth centuries. Those we present are, in alphabetical order: Niels Abel, Kenneth and Robert Cole, Andrew Gemant, Andrey N. Gerasimov, Oliver Heaviside, Paul Lévy, Rashid Sh. Nigmatullin, Yuri N. Rabotnov, George Scott Blair.

Cauchy Problem for Differential Equation with Caputo Derivative

The paper is devoted to the study of the Cauchy problem for a nonlinear differential equation of complex order with the Caputo fractional derivative. The equivalence of this problem and a nonlinear Volterra integral equation in the space of continuously differentiable functions is established. On the basis of this result, the existence and uniqueness of the solution of the considered Cauchy problem is proved. The approximate-iterative method by Dzjadyk is used to obtain the approximate solution of this problem. Two numerical examples are given.

Operational Rules for a Mixed Operator of the Erdélyi-Kober Type

2000 Mathematics Subject Classification: 26A33 (main), 44A40, 44A35, 33E30, 45J05, 45D05

An Expansion Formula for Fractional Derivatives and its Application

An expansion formula for fractional derivatives given as in form of a series involving function and moments of its k-th derivative is derived. The convergence of the series is proved and an estimate of the reminder is given. The form of the fractional derivative given here is especially suitable in deriving restrictions, in a form of internal variable theory, following from the second law of thermodynamics, when applied to linear viscoelasticity of fractional derivative type.

Suggestion from the Past?

Mathematics Subject Classification: 26A33 (main), 35A22, 78A25, 93A30

Weighted Theorems on Fractional Integrals in the Generalized Hölder Spaces via Indices mω and Mω

Mathematics Subject Classification: 26A16, 26A33, 46E15.

Renewal Processes of Mittag-Leffler and Wright Type

2000 MSC: 26A33, 33E12, 33E20, 44A10, 44A35, 60G50, 60J05, 60K05.

Linear Fractional PDE, Uniqueness of Global Solutions

Mathematics Subject Classification: 26A33, 47A60, 30C15.

On Multi-Dimensional Random Walk Models Approximating Symmetric Space-Fractional Diffusion Processes

Mathematics Subject Classification: 26A33, 47B06, 47G30, 60G50, 60G52, 60G60.

Fractional Derivatives and Fractional Powers as Tools in Understanding Wentzell Boundary Value Problems for Pseudo-Differential Operators Generating Markov Processes

Mathematics Subject Classification: 26A33, 31C25, 35S99, 47D07.

Fractional Calculus of the Generalized Wright Function

Mathematics Subject Classification: 26A33, 33C20.

Certain Properties of Fractional Calculus Operators Associated with Generalized Mittag-Leffler Function

Mathematics Subject Classification: 26A33, 33E12, 33C20.

Discrete Models of Time-Fractional Diffusion in a Potential Well

Mathematics Subject Classification: 26A33, 45K05, 60J60, 60G50, 65N06, 80-99.

On a Singular Value Problem for the Fractional Laplacian on the Exterior of the Unit Ball

2000 Mathematics Subject Classification: Primary 26A33; Secondary 47G20, 31B05