A Poster about the Old History of Fractional Calculus

MSC 2010: 26A33, 05C72, 33E12, 34A08, 34K37, 35R11, 60G22The fractional calculus (FC) is an area of intensive research and development. In a previous paper and poster we tried to exhibit its recent state, surveying the period of 1966-2010. The poster accompanying the present note illustrates the major contributions during the period 1695-1970, the "old history" of FC

Mean Exit Time and Survival Probability within the CTRW Formalism

An intense research on financial market microstructure is presently in progress. Continuous time random walks (CTRWs) are general models capable to capture the small-scale properties that high frequency data series show. The use of CTRW models in the analysis of financial problems is quite recent and their potentials have not been fully developed. Here we present two (closely related) applications of great interest in risk control. In the first place, we will review the problem of modelling the behaviour of the mean exit time (MET) of a process out of a given region of fixed size. The surveyed stochastic processes are the cumulative returns of asset prices. The link between the value of the MET and the timescale of the market fluctuations of a certain degree is crystal clear. In this sense, MET value may help, for instance, in deciding the optimal time horizon for the investment. The MET is, however, one among the statistics of a distribution of bigger interest: the survival probability (SP), the likelihood that after some lapse of time a process remains inside the given region without having crossed its boundaries. The final part of the article is devoted to the study of this quantity. Note that the use of SPs may outperform the standard "Value at Risk" (VaR) method for two reasons: we can consider other market dynamics than the limited Wiener process and, even in this case, a risk level derived from the SP will ensure (within the desired quintile) that the quoted value of the portfolio will not leave the safety zone. We present some preliminary theoretical and applied results concerning this topic.Comment: 10 pages, 2 figures, revtex4; corrected typos, to appear in the APFA5 proceeding

Recent history of fractional calculus

This survey intends to report some of the major documents and events in the area of fractional calculus that took place since 1974 up to the present date

Uncoupled continuous-time random walks: Solution and limiting behavior of the master equation

A detailed study is presented for a large class of uncoupled continuous-time random walks (CTRWs). The master equation is solved for the Mittag-Leffler survival probability. The properly scaled diffusive limit of the master equation is taken and its relation with the fractional diffusion equation is discussed. Finally, some common objections found in the literature are thoroughly reviewed.Comment: Preprint version of an already published paper. 8 page

Activity autocorrelation in financial markets. A comparative study between several models

We study the activity, i.e., the number of transactions per unit time, of financial markets. Using the diffusion entropy technique we show that the autocorrelation of the activity is caused by the presence of peaks whose time distances are distributed following an asymptotic power law which ultimately recovers the Poissonian behavior. We discuss these results in comparison with ARCH models, stochastic volatility models and multi-agent models showing that ARCH and stochastic volatility models better describe the observed experimental evidences.Comment: 15 pages, 4 figure

Fractional Fokker-Planck Equation for Ultraslow Kinetics

Several classes of physical systems exhibit ultraslow diffusion for which the mean squared displacement at long times grows as a power of the logarithm of time ("strong anomaly") and share the interesting property that the probability distribution of particle's position at long times is a double-sided exponential. We show that such behaviors can be adequately described by a distributed-order fractional Fokker-Planck equations with a power-law weighting-function. We discuss the equations and the properties of their solutions, and connect this description with a scheme based on continuous-time random walks

Truncation effects in superdiffusive front propagation with L\'evy flights

A numerical and analytical study of the role of exponentially truncated L\'evy flights in the superdiffusive propagation of fronts in reaction-diffusion systems is presented. The study is based on a variation of the Fisher-Kolmogorov equation where the diffusion operator is replaced by a $\lambda$-truncated fractional derivative of order $\alpha$ where $1/\lambda$ is the characteristic truncation length scale. For $\lambda=0$ there is no truncation and fronts exhibit exponential acceleration and algebraic decaying tails. It is shown that for $\lambda \neq 0$ this phenomenology prevails in the intermediate asymptotic regime $(\chi t)^{1/\alpha} \ll x \ll 1/\lambda$ where $\chi$ is the diffusion constant. Outside the intermediate asymptotic regime, i.e. for $x > 1/\lambda$, the tail of the front exhibits the tempered decay $\phi \sim e^{-\lambda x}/x^{(1+\alpha)}$, the acceleration is transient, and the front velocity, $v_L$, approaches the terminal speed $v_* = (\gamma - \lambda^\alpha \chi)/\lambda$ as $t\to \infty$, where it is assumed that $\gamma > \lambda^\alpha \chi$ with $\gamma$ denoting the growth rate of the reaction kinetics. However, the convergence of this process is algebraic, $v_L \sim v_* - \alpha /(\lambda t)$, which is very slow compared to the exponential convergence observed in the diffusive (Gaussian) case. An over-truncated regime in which the characteristic truncation length scale is shorter than the length scale of the decay of the initial condition, $1/\nu$, is also identified. In this extreme regime, fronts exhibit exponential tails, $\phi \sim e^{-\nu x}$, and move at the constant velocity, $v=(\gamma - \lambda^\alpha \chi)/\nu$.Comment: Accepted for publication in Phys. Rev. E (Feb. 2009