Enrico Scalas : Citation Profile


Are you Enrico Scalas?

12

H index

13

i10 index

436

Citations

RESEARCH PRODUCTION:

49

Articles

56

Papers

1

Books

RESEARCH ACTIVITY:

   25 years (1994 - 2019). See details.
   Cites by year: 17
   Journals where Enrico Scalas has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 29 (6.24 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psc89
   Updated: 2020-08-01    RAS profile: 2020-06-12    
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Relations with other researchers


Works with:

Raberto, Marco (2)

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

Is cited by:

Zhou, Wei-Xing (37)

Cartea, Álvaro (13)

Gallegati, Mauro (13)

Alfarano, Simone (10)

Climent-Hernández, José (10)

Montero, Miquel (9)

Petroni, Filippo (9)

Perelló, Josep (8)

Delli Gatti, Domenico (8)

Masoliver, Jaume (8)

Bottazzi, Giulio (8)

Cites to:

Raberto, Marco (13)

Bollerslev, Tim (6)

Kaizoji, Taisei (6)

Kirchler, Michael (5)

Bottazzi, Giulio (5)

Secchi, Angelo (5)

Engle, Robert (5)

Livan, Giacomo (5)

Gallegati, Mauro (4)

Alfarano, Simone (4)

Cincotti, Silvano (3)

Main data


Where Enrico Scalas has published?


Journals with more than one article published# docs
Physica A: Statistical Mechanics and its Applications28
The European Physical Journal B: Condensed Matter and Complex Systems6
Journal of Economic Interaction and Coordination3
Quantitative Finance3
PLOS ONE2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org37
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 (2020 and 2019)


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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2017The q-dependent detrended cross-correlation analysis of stock market. (2017). Stanley, Eugene H ; Wang, Yougui ; Podobnik, Boris ; Fenu, Andrea ; Li, Wei ; Zhao, Longfeng. 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). di Matteo, Tiziana ; Buonocore, Riccardo Junior ; Verma, Anshul. In: Papers. RePEc:arx:papers:1712.02138.

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

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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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2020Neural networks for option pricing and hedging: a literature review. (2019). Wang, Weiguan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:1911.05620.

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2020A new set of cluster driven composite development indicators. (2019). di Matteo, Tiziana ; Angelini, Orazio ; Verma, Anshul. In: Papers. RePEc:arx:papers:1911.11226.

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2020Wealth distribution under the spread of infectious diseases. (2020). Zanella, M ; Toscani, G ; Pareschi, L ; Dimarco, G. In: Papers. RePEc:arx:papers:2004.13620.

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2020A micro-to-macro approach to returns, volumes and waiting times. (2020). Petroni, Filippo ; D'Amico, Guglielmo. In: Papers. RePEc:arx:papers:2007.06262.

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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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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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2020Numerical solution of non-linear fourth order fractional sub-diffusion wave equation with time delay. (2020). Nandal, Sarita ; Pandey, Dwijendra Narain. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:369:y:2020:i:c:s0096300319308926.

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2020Exploiting ergodicity in forecasts of corporate profitability. (2020). Milaković, Mishael ; Alfarano, Simone ; Mundt, Philipp. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919302155.

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2020Effects of the fat-tail distribution on the relationship between prospect theory value and expected return. (2020). Park, Jong Won ; Eom, Cheoljun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300075.

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2020Impact of volatility jumps in a mean-reverting model: Derivative pricing and empirical evidence. (2020). Chen, Ting-Fu ; Chiu, Hsin-Yu . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819300026.

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2019Backward difference formulae and spectral Galerkin methods for the Riesz space fractional diffusion equation. (2019). Zhao, Jingjun ; Zhang, Yanming ; Xu, Yang. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:166:y:2019:i:c:p:494-507.

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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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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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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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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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2019Market basket analysis by solving the inverse Ising problem: Discovering pairwise interaction strengths among products. (2019). Rica, Sergio ; Ruz, Gonzalo A ; Valle, Mauricio A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:524:y:2019:i:c:p:36-44.

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2019A deterministic behaviour for realistic price dynamics. (2019). Morvan, Remi ; Mathieu, Philippe. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:33-49.

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2019A three-way clustering method based on an improved DBSCAN algorithm. (2019). Wang, Xingnan ; Yao, Jingtao ; Chen, Luyuan ; Yu, Hui. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119313123.

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2020Trade duration risk in subdiffusive financial models. (2020). Torricelli, Lorenzo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:541:y:2020:i:c:s0378437119320588.

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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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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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2020An Efficient Analytical Approach for the Solution of Certain Fractional-Order Dynamical Systems. (2020). Baleanu, Dumitru ; Shah, Rasool ; Khan, Hassan ; al Qurashi, Maysaa ; Ali, Izaz ; Qin, YA. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:11:p:2725-:d:364336.

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2020Fractional Differencing: (In)stability of Spectral Structure and Risk Measures of Financial Networks. (2020). Chakrabarti, Anindya S. In: IIMA Working Papers. RePEc:iim:iimawp:14629.

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2020An agent-based early warning indicator for financial market instability. (2020). Vidal-Tomás, David ; Alfarano, Simone ; Vidal-Tomas, David. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:1:d:10.1007_s11403-019-00272-3.

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2020Network calibration and metamodeling of a financial accelerator agent based model. (2020). Russo, Alberto ; Riccetti, Luca ; Gallegati, Mauro ; Bargigli, Leonardo. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:2:d:10.1007_s11403-018-0217-8.

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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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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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2020Statistical Equilibrium Methods in Analytical Political Economy. (2020). Scharfenaker, Ellis. In: Working Paper Series, Department of Economics, University of Utah. RePEc:uta:papers:2020_05.

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2019Exploiting ergodicity in forecasts of corporate profitability. (2019). Milaković, Mishael ; Alfarano, Simone ; Mundt, Philipp. In: BERG Working Paper Series. RePEc:zbw:bamber:147.

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2020Statistical mechanics of time series. (2020). Livan, Giacomo ; Marcaccioli, Riccardo. In: Papers. RePEc:arx:papers:1907.04925.

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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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This paper has another version. Agregated cites: 4
article
2009Stochastic calculus for uncoupled continuous-time random walks In: Papers.
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paper6
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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This paper has another version. Agregated cites: 5
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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paper14
2011The fine structure of spectral properties for random correlation matrices: an application to financial markets.(2011) In: MPRA Paper.
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paper
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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paper0
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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paper10
2012Analysis of short term price trends in daily stock-market index data In: Papers.
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paper0
2017Modeling non-stationarities in high-frequency financial time series In: Papers.
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2019Modeling non-stationarities in high-frequency financial time series.(2019) In: Physica A: Statistical Mechanics and its Applications.
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2013Ergodic transition in a simple model of the continuous double auction In: Papers.
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2014Ergodic Transition in a Simple Model of the Continuous Double Auction.(2014) In: PLOS ONE.
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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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2017Performance of information criteria used for model selection of Hawkes process models of financial data In: Papers.
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2019Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market In: Papers.
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2019Fat tails in financial return distributions revisited: Evidence from the Korean stock market.(2019) In: Physica A: Statistical Mechanics and its Applications.
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2020Continuum and thermodynamic limits for a simple random-exchange model In: Papers.
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2000Fractional calculus and continuous-time finance In: Papers.
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2004Fractional calculus and continuous-time finance.(2004) In: Finance.
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2000Fractional calculus and continuous-time finance.(2000) In: Physica A: Statistical Mechanics and its Applications.
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2000Learning short-option valuation in the presence of rare events In: Papers.
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paper1
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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2007The value of information in a multi-agent market model.(2007) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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2010Finitary Probabilistic Methods in Econophysics In: Cambridge Books.
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book31
1994Temperature and disequilibrium dependence of cluster growth In: Physica A: Statistical Mechanics and its Applications.
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1996Multi-site correlation functions in two-dimensional lattice gases In: Physica A: Statistical Mechanics and its Applications.
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1998Scaling in the market of futures In: Physica A: Statistical Mechanics and its Applications.
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1998Dynamic scaling of a reaction-limited decay process In: Physica A: Statistical Mechanics and its Applications.
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1999Morphologies in two-dimensional growth with attractive long-range interactions In: Physica A: Statistical Mechanics and its Applications.
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2006The application of continuous-time random walks in finance and economics In: Physica A: Statistical Mechanics and its Applications.
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2007Power laws from randomly sampled continuous-time random walks In: Physica A: Statistical Mechanics and its Applications.
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2007Volatilities, traded volumes, and the hypothesis of price increments in derivative securities In: Physica A: Statistical Mechanics and its Applications.
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2008Analysis of price fluctuations in futures exchange markets In: Physica A: Statistical Mechanics and its Applications.
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2008Dynamical behaviors of inter-out-of-equilibrium state intervals in Korean futures exchange markets In: Physica A: Statistical Mechanics and its Applications.
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2008Accuracy and robustness of clustering algorithms for small-size applications in bioinformatics In: Physica A: Statistical Mechanics and its Applications.
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2008Statistical auditing and randomness test of lotto k/N-type games In: Physica A: Statistical Mechanics and its Applications.
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2008Fitting the empirical distribution of intertrade durations In: Physica A: Statistical Mechanics and its Applications.
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2009A random telegraph signal of Mittag-Leffler type In: Physica A: Statistical Mechanics and its Applications.
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2014A functional limit theorem for stochastic integrals driven by a time-changed symmetric α-stable Lévy process In: Stochastic Processes and their Applications.
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2017The fractional non-homogeneous Poisson process In: Statistics & Probability Letters.
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2015Large scale simulation of synthetic markets In: LSE Research Online Documents on Economics.
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2014A spectral perspective on excess volatility In: Working Papers.
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2015A spectral perspective on excess volatility.(2015) In: Applied Economics Letters.
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2014A spectral perspective on excess volatility.(2014) In: FinMaP-Working Papers.
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2011Semi-Markov Graph Dynamics In: PLOS ONE.
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2009The Kuznets Curve and the Inequality Process In: MPRA Paper.
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2008Stochastic integration for uncoupled continuous-time random walks In: MPRA Paper.
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2009From Renewal Theory to High-Frequency Finance In: European Journal of Economic and Social Systems.
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2004A double-auction artificial market with time-irregularly spaced orders In: Computing in Economics and Finance 2004.
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2004Speculative option valuation: A supercomputing approach In: Computing in Economics and Finance 2004.
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2006Statistical equilibrium in simple exchange games I In: The European Physical Journal B: Condensed Matter and Complex Systems.
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2007Statistical equilibrium in simple exchange games I.(2007) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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2007Statistical equilibrium in simple exchange games II. The redistribution game In: The European Physical Journal B: Condensed Matter and Complex Systems.
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2010Spectral densities of Wishart-Lévy free stable random matrices In: The European Physical Journal B: Condensed Matter and Complex Systems.
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2017Continuous-time statistics and generalized relaxation equations In: The European Physical Journal B: Condensed Matter and Complex Systems.
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2015Wealth distribution and the Lorenz curve: a finitary approach In: Journal of Economic Interaction and Coordination.
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2006Aggregation of Heterogeneous Interacting Agents: The Variant Representative Agent Framework In: Journal of Economic Interaction and Coordination.
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2008Editorial In: Journal of Economic Interaction and Coordination.
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2018Editors’ foreword In: Quantitative Finance.
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2009EDITORIAL: COMPLEX NETWORKS In: Advances in Complex Systems (ACS).
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2007DYNAMICS OF AVALANCHE ACTIVITIES IN FINANCIAL MARKETS In: International Journal of Modern Physics C (IJMPC).
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2008A Note on Aoki-Yoshikawa Model In: Economics Discussion Papers.
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2009A Dynamic Probabilistic Version of the Aoki-Yoshikawa Sectoral Productivity Model In: Economics - The Open-Access, Open-Assessment E-Journal.
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