Details about Joseph L. McCauley

Access statistics for papers by Joseph L. McCauley.

Last updated 2007-10-17. Update your information in the RePEc Author Service.

Short-id: pmc49

Working Papers

2007

1. Fokker-Planck and Chapman-Kolmogorov equations for Ito processes with finite memory
   MPRA Paper, University Library of Munich, Germany View citations (3)

2006

2. Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets
   MPRA Paper, University Library of Munich, Germany View citations (14)
3. Response to worrying trends in econophysics
   MPRA Paper, University Library of Munich, Germany View citations (36)

2004

4. Economic system dynamics
   MPRA Paper, University Library of Munich, Germany
5. Making dynamic modelling effective in economics
   MPRA Paper, University Library of Munich, Germany
6. Thermodynamic analogies in economics and finance: instability of markets
   MPRA Paper, University Library of Munich, Germany View citations (8)

2003

7. An empirical model of volatility of returns and option pricing
   MPRA Paper, University Library of Munich, Germany View citations (18)
   Also in Computing in Economics and Finance 2002, Society for Computational Economics (2002) View citations (5)
8. On CAPM and Black-Scholes, differing risk-return strategies
   MPRA Paper, University Library of Munich, Germany View citations (1)

1999

9. The Futility of Utility: how market dynamics marginalize Adam Smith
   MPRA Paper, University Library of Munich, Germany View citations (2)