Enrico Scalas : Citation Profile


Are you Enrico Scalas?

10

H index

11

i10 index

384

Citations

RESEARCH PRODUCTION:

45

Articles

54

Papers

RESEARCH ACTIVITY:

   24 years (1994 - 2018). See details.
   Cites by year: 16
   Journals where Enrico Scalas has often published
   Relations with other researchers
   Recent citing documents: 58.    Total self citations: 26 (6.34 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psc89
   Updated: 2019-10-15    RAS profile: 2018-11-10    
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Relations with other researchers


Works with:

Alfarano, Simone (3)

Milaković, Mishael (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Enrico Scalas.

Is cited by:

Cartea, Álvaro (13)

Raberto, Marco (11)

Gallegati, Mauro (10)

Climent Hernández, José (10)

Petroni, Filippo (9)

Montero, Miquel (9)

Perelló, Josep (8)

Masoliver, Jaume (8)

Kirchler, Michael (7)

Delli Gatti, Domenico (7)

Kaizoji, Taisei (6)

Cites to:

Raberto, Marco (12)

Kaizoji, Taisei (6)

Bottazzi, Giulio (5)

Secchi, Angelo (5)

Kirchler, Michael (5)

Gallegati, Mauro (4)

Engle, Robert (4)

Alfarano, Simone (4)

Livan, Giacomo (4)

Cincotti, Silvano (3)

Kondor, Imre (3)

Main data


Where Enrico Scalas has published?


Journals with more than one article published# docs
Physica A: Statistical Mechanics and its Applications26
The European Physical Journal B: Condensed Matter and Complex Systems6
Quantitative Finance3
Journal of Economic Interaction and Coordination3

Working Papers Series with more than one paper published# docs
Papers / arXiv.org35
Finance / University Library of Munich, Germany6
MPRA Paper / University Library of Munich, Germany5
Economics Discussion Papers / Kiel Institute for the World Economy (IfW)2
Computing in Economics and Finance 2004 / Society for Computational Economics2

Recent works citing Enrico Scalas (2018 and 2017)


YearTitle of citing document
2018How much market making does a market need?. (2018). Swart, Jan M ; Pervzina, V'It . In: Papers. RePEc:arx:papers:1612.00981.

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2017Subdiffusive fractional Brownian motion regime for pricing currency options under transaction costs. (2017). Shokrollahi, Foad. In: Papers. RePEc:arx:papers:1612.06665.

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2017Economic Accelerator with Memory: Discrete Time Approach. (2017). Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1612.07913.

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2017Fractional Dynamics of Natural Growth and Memory Effect in Economics. (2017). Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1612.09060.

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2017The q-dependent detrended cross-correlation analysis of stock market. (2017). Zhao, Longfeng ; Stanley, Eugene H ; Wang, Yougui ; Podobnik, Boris ; Fenu, Andrea ; Li, Wei. In: Papers. RePEc:arx:papers:1705.01406.

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2018A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. (2018). Verma, Anshul ; di Matteo, Tiziana ; Buonocore, Riccardo Junior . In: Papers. RePEc:arx:papers:1712.02138.

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2017Dynamic intersectoral models with power-law memory. (2017). Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1712.09087.

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2017Concept of dynamic memory in economics. (2017). Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1712.09088.

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2017Logistic map with memory from economic model. (2017). Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1712.09092.

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2018Topological recognition of critical transitions in time series of cryptocurrencies. (2018). Gidea, Marian ; Shmalo, Yonah ; Roldan, Pablo ; Katz, Yuri ; Goldsmith, Daniel. In: Papers. RePEc:arx:papers:1809.00695.

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2019Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market. (2019). Scalas, Enrico ; Kaizoji, Taisei ; Eom, Cheoljun. In: Papers. RePEc:arx:papers:1904.02567.

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2019Katugampola Generalized Conformal Derivative Approach to Inada Conditions and Solow-Swan Economic Growth Model. (2019). Brun-Battistini, D ; Nunez-Zavala, B ; Quezada, L A ; Fern, G. In: Papers. RePEc:arx:papers:1907.00130.

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2018Eigenvalue significance testing for genetic association. (2018). Zhou, Yia Hui ; Wright, Fred A ; Marron, J S. In: Biometrics. RePEc:bla:biomet:v:74:y:2018:i:2:p:439-447.

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2017A robust numerical method for a fractional differential equation. (2017). Cen, Zhongdi ; Xu, Aimin ; Le, Anbo. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:315:y:2017:i:c:p:445-452.

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2018Riemann and Weierstrass walks revisited. (2018). Soto-Villalobos, Roberto ; Almaguer, F-Javier ; F-Javier Almaguer, ; Amezcua, Omar Gonzalez ; Morales-Castillo, Javier . In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:319:y:2018:i:c:p:518-526.

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2018A time-space spectral method for the time-space fractional Fokker–Planck equation and its inverse problem. (2018). Zhang, Hui ; Yang, Xiu ; Jiang, Xiaoyun. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:320:y:2018:i:c:p:302-318.

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2018Superconvergence analysis of finite element method for time-fractional Thermistor problem. (2018). Shi, Dongyang ; Yang, Huaijun. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:323:y:2018:i:c:p:31-42.

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2018A stable explicitly solvable numerical method for the Riesz fractional advection–dispersion equations. (2018). Zhang, Jingyuan. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:332:y:2018:i:c:p:209-227.

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2018Numerical solution of space fractional diffusion equation by the method of lines and splines. (2018). Salehi, Younes ; Schiesser, William E ; Darvishi, Mohammad T. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:336:y:2018:i:c:p:465-480.

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2018Block preconditioning strategies for time–space fractional diffusion equations. (2018). Chen, Hao ; Lv, Wen ; Zhang, Tongtong. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:337:y:2018:i:c:p:41-53.

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2018Macroeconomic models with long dynamic memory: Fractional calculus approach. (2018). Tarasov, Vasily E ; Tarasova, Valentina V. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:338:y:2018:i:c:p:466-486.

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2018A numerical approach for fractional partial differential equations by using Ritz approximation. (2018). Firoozjaee, M A ; Yousefi, S A. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:338:y:2018:i:c:p:711-721.

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2019Radial basis functions method for solving the fractional diffusion equations. (2019). Zafarghandi, Fahimeh Saberi ; Javadi, Shahnam ; Babolian, Esmail ; Mohammadi, Maryam. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:342:y:2019:i:c:p:224-246.

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2019Numerical analysis and fast implementation of a fourth-order difference scheme for two-dimensional space-fractional diffusion equations. (2019). Xing, Zhiyong ; Wen, Liping. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:346:y:2019:i:c:p:155-166.

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2019Stability and convergence analysis of the quadratic spline collocation method for time-dependent fractional diffusion equations. (2019). Liu, Jun ; Guo, Hui ; Sun, Yanan ; Chai, Xiaochao ; Fu, Hongfei. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:346:y:2019:i:c:p:633-648.

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2019Galerkin spectral method for nonlinear time fractional Cable equation with smooth and nonsmooth solutions. (2019). Lu, Shujuan ; Liu, Haiyu. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:350:y:2019:i:c:p:32-47.

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2018Copula based multivariate semi-Markov models with applications in high-frequency finance. (2018). Damico, Guglielmo ; Petroni, Filippo. In: European Journal of Operational Research. RePEc:eee:ejores:v:267:y:2018:i:2:p:765-777.

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2018The method of simplified Tikhonov regularization for a time-fractional inverse diffusion problem. (2018). Yang, Fan ; Fu, Chu-Li ; Li, Xiao-Xiao. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:144:y:2018:i:c:p:219-234.

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2018Solving the backward problem for space-fractional diffusion equation by a fractional Tikhonov regularization method. (2018). Zheng, Guang-Hui ; Zhang, Quan-Guo. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:148:y:2018:i:c:p:37-47.

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2017A model of task-deletion mechanism based on the priority queueing system of Barabási. (2017). Zhou, Bin ; Wang, Bing-Hong ; Yan, Xiao-Yong ; Xie, Jia-Rong . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:466:y:2017:i:c:p:415-421.

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2017A quantum anharmonic oscillator model for the stock market. (2017). Gao, Tingting ; Chen, YU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:468:y:2017:i:c:p:307-314.

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2017Role of intensive and extensive variables in a soup of firms in economy to address long run prices and aggregate data. (2017). Gallegati, Mauro ; Hosseiny, Ali. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:470:y:2017:i:c:p:51-59.

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2017Wealth and price distribution by diffusive approximation in a repeated prediction market. (2017). Bottazzi, Giulio ; Giachini, Daniele. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:473-479.

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2017A model-free characterization of recurrences in stationary time series. (2017). Chicheportiche, Remy ; Chakraborti, Anirban. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:474:y:2017:i:c:p:312-318.

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2017Time fractional capital-induced labor migration model. (2017). Balci, Mehmet Ali. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:477:y:2017:i:c:p:91-98.

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2018A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test. (2018). Faria, S H ; Neumann, M B ; Polanco-Martinez, J M ; Fernandez-Macho, J. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1211-1227.

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2018On the adaptive sliding mode controller for a hyperchaotic fractional-order financial system. (2018). Hajipour, Ahamad ; Baleanu, Dumitru. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:497:y:2018:i:c:p:139-153.

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2018Variable order fractional Fokker–Planck equations derived from Continuous Time Random Walks. (2018). Straka, Peter. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:451-463.

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2018An empirical investigation and theoretic modeling for the collective online visiting behaviors. (2018). Li, Zhenpeng ; Yan, Donghui ; Zhou, Haijun ; Tang, Xijin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:969-980.

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2018Optimal threshold for Pareto tail modelling in the presence of outliers. (2018). Mohd, Muhammad Aslam ; Ibrahim, Kamarulzaman ; Masseran, Nurulkamal. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:169-180.

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2018IPV model with Cobb–Douglas and reference-dependent utility functions. (2018). Zhang, Yunyi ; Gong, PU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:510:y:2018:i:c:p:121-131.

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2019Hysteresis of economic networks in an XY model. (2019). Hosseiny, Ali ; Gallegati, Mauro ; Sherafati, Mohammad ; Absalan, Mohammadreza. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:513:y:2019:i:c:p:644-652.

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2019Portfolio optimization based on network topology. (2019). Li, Yan ; Zheng, BO ; Tian, Yue ; Jiang, Xiong-Fei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:515:y:2019:i:c:p:671-681.

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2019Modeling non-stationarities in high-frequency financial time series. (2019). Raberto, Marco ; Scalas, Enrico ; Trinh, Mailan ; Ponta, Linda ; Cincotti, Silvano. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:521:y:2019:i:c:p:173-196.

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2017Heavy-tailed fractional Pearson diffusions. (2017). Leonenko, N N ; Papi, I ; Uvak, N ; Sikorskii, A. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:11:p:3512-3535.

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2017Fractionally integrated inverse stable subordinators. (2017). Iksanov, Alexander ; Shevchenko, Georgiy ; Marynych, Alexander ; Kabluchko, Zakhar. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:1:p:80-106.

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2018Fractional diffusion-type equations with exponential and logarithmic differential operators. (2018). Beghin, Luisa. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:7:p:2427-2447.

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2017Asymptotic results for a multivariate version of the alternative fractional Poisson process. (2017). Beghin, Luisa ; Macci, Claudio. In: Statistics & Probability Letters. RePEc:eee:stapro:v:129:y:2017:i:c:p:260-268.

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2017Risk Aversion for Investors with Memory: Hereditary Generalizations of Arrow-Pratt Measure. (2017). Tarasova, Valentina V. In: Finansovyj žhurnal — Financial Journal. RePEc:fru:finjrn:170205:p:46-63.

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2019A Rebalancing Strategy for the Imbalance Problem in Bike-Sharing Systems. (2019). Peng, Jian ; Huang, Feihu ; Yi, Peiyu. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:13:p:2578-:d:245614.

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2017Non-linear externalities in firm localization. (2017). Vanni, Fabio ; Gragnolati, Ugo ; Bottazzi, Giulio. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-01405780.

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2017Pricing of a structured product on the SX5E when the uncertainty of returns is modeled as a log-stable process.. (2017). Climent-Hernández, José ; Climent Hernández, José ; Climent-Hernández, José ; Climent-Hernández, José ; Matu, Carolina Cruz. In: Contaduría y Administración. RePEc:nax:conyad:v:62:y:2017:i:4:p:1160-1182.

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2019The financial transmission of shocks in a simple hybrid macroeconomic agent based model. (2019). Assenza, Tiziana ; Gatti, Domenico Delli. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:29:y:2019:i:1:d:10.1007_s00191-018-0559-3.

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2018A non-parametric Bayesian approach to decompounding from high frequency data. (2018). Gugushvili, Shota ; Spreij, Peter ; Meulen, Frank. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:21:y:2018:i:1:d:10.1007_s11203-016-9153-1.

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2017Transitions in the stock markets of the US, UK and Germany. (2017). Raddant, Matthias ; Wagner, Friedrich . In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:2:p:289-297.

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2017Non-linear externalities in firm localization. (2017). Vanni, Fabio ; Gragnolati, Ugo ; Bottazzi, Giulio. In: Regional Studies. RePEc:taf:regstd:v:51:y:2017:i:8:p:1138-1150.

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2017INTERMITTENT BEHAVIOR INDUCED BY ASYNCHRONOUS INTERACTIONS IN A CONTINUOUS DOUBLE AUCTION MODEL. (2017). Sasai, Kazuto ; Kinoshita, Tetsuo ; Gunji, Yukio-Pegio. In: Advances in Complex Systems (ACS). RePEc:wsi:acsxxx:v:20:y:2017:i:02n03:n:s0219525917500059.

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2018Pareto tails in socio-economic phenomena: A kinetic description. (2018). Gualandi, Stefano ; Toscani, Giuseppe. In: Economics - The Open-Access, Open-Assessment E-Journal. RePEc:zbw:ifweej:201831.

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Works by Enrico Scalas:


YearTitleTypeCited
2007The value of information in financial markets: An agent-based simulation In: Papers.
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2008Activity spectrum from waiting-time distribution In: Papers.
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paper4
2007Activity spectrum from waiting-time distribution.(2007) In: Physica A: Statistical Mechanics and its Applications.
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2009Stochastic calculus for uncoupled continuous-time random walks In: Papers.
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paper5
2008The distribution of first-passage times and durations in FOREX and future markets In: Papers.
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paper5
2009The distribution of first-passage times and durations in FOREX and future markets.(2009) In: Physica A: Statistical Mechanics and its Applications.
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article
2009Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation In: Papers.
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paper0
2010On-line trading as a renewal process: Waiting time and inspection paradox In: Papers.
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paper1
2011The fine structure of spectral properties for random correlation matrices: an application to financial markets In: Papers.
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2011The fine structure of spectral properties for random correlation matrices: an application to financial markets.(2011) In: MPRA Paper.
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2011A class of CTRWs: Compound fractional Poisson processes In: Papers.
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2011Full characterization of the fractional Poisson process In: Papers.
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paper6
2012A parsimonious model for intraday European option pricing In: Papers.
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2012A parsimonious model for intraday European option pricing.(2012) In: Economics Discussion Papers.
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paper
2012On the non-stationarity of financial time series: impact on optimal portfolio selection In: Papers.
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paper9
2012Analysis of short term price trends in daily stock-market index data In: Papers.
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2017Modeling non-stationarities in high-frequency financial time series In: Papers.
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paper1
2013Ergodic transition in a simple model of the continuous double auction In: Papers.
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2016Low-traffic limit and first-passage times for a simple model of the continuous double auction In: Papers.
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2017Low-traffic limit and first-passage times for a simple model of the continuous double auction.(2017) In: Physica A: Statistical Mechanics and its Applications.
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2016A stylized model for wealth distribution In: Papers.
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paper0
2017Performance of information criteria used for model selection of Hawkes process models of financial data In: Papers.
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paper0
2000Fractional calculus and continuous-time finance In: Papers.
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paper65
2000Fractional calculus and continuous-time finance.(2000) In: Physica A: Statistical Mechanics and its Applications.
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2004Fractional calculus and continuous-time finance.(2004) In: Finance.
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2000Learning short-option valuation in the presence of rare events In: Papers.
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2000Fractional calculus and continuous-time finance II: the waiting-time distribution In: Papers.
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2000Fractional calculus and continuous-time finance II: the waiting-time distribution.(2000) In: Physica A: Statistical Mechanics and its Applications.
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2004Fractional calculus and continuous-time finance II: the waiting- time distribution.(2004) In: Finance.
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2000The waiting-time distribution of LIFFE bond futures In: Papers.
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2002Waiting-times and returns in high-frequency financial data: an empirical study In: Papers.
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2002Waiting-times and returns in high-frequency financial data: an empirical study.(2002) In: Physica A: Statistical Mechanics and its Applications.
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2004Waiting-times and returns in high-frequency financial data: an empirical study.(2004) In: Finance.
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2003Anomalous waiting times in high-frequency financial data In: Papers.
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2005Anomalous waiting times in high-frequency financial data.(2005) In: Papers.
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2004Anomalous waiting times in high-frequency financial data.(2004) In: Quantitative Finance.
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2004On pricing of interest rate derivatives In: Papers.
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2004On pricing of interest rate derivatives.(2004) In: Physica A: Statistical Mechanics and its Applications.
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2005Five Years of Continuous-time Random Walks in Econophysics In: Papers.
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2005Five Years of Continuous-time Random Walks in Econophysics.(2005) In: Finance.
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2005Basel II for Physicists: A Discussion Paper In: Papers.
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1999Correlations in the Bond-Future Market In: Papers.
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1999Correlations in the bond-future market.(1999) In: Physica A: Statistical Mechanics and its Applications.
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2004Correlations in the Bond–Future Market.(2004) In: Finance.
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1999Volatility in the Italian Stock Market: an Empirical Study In: Papers.
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1999Volatility in the Italian stock market: an empirical study.(1999) In: Physica A: Statistical Mechanics and its Applications.
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2004Volatility in the Italian Stock Market: An Empirical Study.(2004) In: Finance.
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2006Mixtures of compound Poisson processes as models of tick-by-tick financial data In: Papers.
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2006Growth and Allocation of Resources in Economics: The Agent-Based Approach In: Papers.
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2006Growth and allocation of resources in economics: The agent-based approach.(2006) In: Physica A: Statistical Mechanics and its Applications.
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2006Growth and allocation of resources in economics: The agent-based approach.(2006) In: Post-Print.
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2006The art of fitting financial time series with Levy stable distributions In: Papers.
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2006The art of fitting financial time series with Levy stable distributions.(2006) In: MPRA Paper.
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2006Waiting times between orders and trades in double-auction markets In: Papers.
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2006Waiting times between orders and trades in double-auction markets.(2006) In: Physica A: Statistical Mechanics and its Applications.
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2006Coupled continuous time random walks in finance In: Papers.
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2006Coupled continuous time random walks in finance.(2006) In: Physica A: Statistical Mechanics and its Applications.
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2007The value of information in a multi-agent market model In: Papers.
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2006The value of information in a multi-agent market model.(2006) In: MPRA Paper.
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