Enrico Scalas : Citation Profile


Are you Enrico Scalas?

13

H index

14

i10 index

654

Citations

RESEARCH PRODUCTION:

52

Articles

56

Papers

1

Books

4

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   28 years (1994 - 2022). See details.
   Cites by year: 23
   Journals where Enrico Scalas has often published
   Relations with other researchers
   Recent citing documents: 59.    Total self citations: 34 (4.94 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psc89
   Updated: 2022-11-19    RAS profile: 2022-07-25    
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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 (40)

Climent Hernández, José (30)

Cartea, Álvaro (14)

Gallegati, Mauro (13)

Alfarano, Simone (10)

Montero, Miquel (9)

Petroni, Filippo (9)

Perelló, Josep (8)

Masoliver, Jaume (8)

Delli Gatti, Domenico (8)

Bottazzi, Giulio (8)

Cites to:

Raberto, Marco (15)

Kaizoji, Taisei (9)

Düring, Bertram (6)

Bollerslev, Tim (6)

Engle, Robert (5)

Bottazzi, Giulio (5)

Livan, Giacomo (5)

Kirchler, Michael (5)

Kondor, Imre (5)

Secchi, Angelo (5)

Gallegati, Mauro (4)

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
Stochastic Processes and their Applications2
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
Computing in Economics and Finance 2004 / Society for Computational Economics2
Economics Discussion Papers / Kiel Institute for the World Economy (IfW Kiel)2

Recent works citing Enrico Scalas (2022 and 2021)


YearTitle of citing document
2022A subdiffusive stochastic volatility jump model. (2022). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022001.

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2021Multiscale characteristics of the emerging global cryptocurrency market. (2020). Zd, Stanislaw Dro ; Wkatorek, Marcin ; Stanuszek, Marek ; O'Swikecimka, Pawel ; Minati, Ludovico ; Kwapie, Jaroslaw. In: Papers. RePEc:arx:papers:2010.15403.

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2021Fragmentation in trader preferences among multiple markets: Market coexistence versus single market dominance. (2020). Alori, Aleksandra ; Nicole, Robin ; Sollich, Peter. In: Papers. RePEc:arx:papers:2012.04103.

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2021Financial Return Distributions: Past, Present, and COVID-19. (2021). Zd, Stanislaw Dro ; Kwapie, Jaroslaw ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:2107.06659.

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2021Understanding the nature of the long-range memory phenomenon in socioeconomic systems. (2021). Gontis, Vygintas ; Kaulakys, Bronislovas ; Kononovicius, Aleksejus ; Kazakevicius, Rytis. In: Papers. RePEc:arx:papers:2108.02506.

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2021Forecasting Financial Market Structure from Network Features using Machine Learning. (2021). Kang, Soong Moon ; Castilho, Douglas ; Andr'e C. P. L. F. de Carvalho, ; Gama, Joao . In: Papers. RePEc:arx:papers:2110.11751.

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2021Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300.

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2021Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02376.

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2022Multifractal cross-correlations of bitcoin and ether trading characteristics in the post-COVID-19 time. (2022). Zd, Stanislaw Dro ; Kwapie, Jaroslaw ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:2208.01445.

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2022STATISTICAL EQUILIBRIUM METHODS IN ANALYTICAL POLITICAL ECONOMY. (2022). Scharfenaker, Ellis. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:36:y:2022:i:2:p:276-309.

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2021Fast direct solver for CN-ADI-FV scheme to two-dimensional Riesz space-fractional diffusion equations. (2021). Li, Zhi ; Qu, Wei. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:401:y:2021:i:c:s0096300321000813.

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2021Mathematical model pertaining to the effect of buffer over cytosolic calcium concentration distribution. (2021). Purohit, Sunil Dutt ; Agarwal, Ritu. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:143:y:2021:i:c:s0960077920310018.

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2021Artificial macro-economics: A chaotic discrete-time fractional-order laboratory model. (2021). Bekiros, Stelios ; Chu, Yu-Ming ; Aly, Ayman A ; Jahanshahi, Hadi ; Lahmiri, Salim ; Orozco-Lopez, Onofre ; Zambrano-Serrano, Ernesto. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:145:y:2021:i:c:s0960077921001284.

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2021Theoretical and computational analysis of nonlinear fractional integro-differential equations via collocation method. (2021). Sumelka, W ; Hafeez, Bilal M ; Shah, Kamal ; Ahmad, Hijaz ; Amin, Rohul. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:151:y:2021:i:c:s0960077921006068.

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2022A Quantum Mechanics for interest rate derivatives markets. (2022). Bueno-Guerrero, Alberto. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:155:y:2022:i:c:s0960077921010808.

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2022Efficient numerical techniques for computing the Riesz fractional-order reaction-diffusion models arising in biology. (2022). Pindza, Edson ; Saad, Khaled M ; Owolabi, Kolade M ; Alqhtani, Manal. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:161:y:2022:i:c:s096007792200604x.

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2022A delayed fractional-order tumor virotherapy model: Stability and Hopf bifurcation. (2022). Allali, Karam ; Hajri, Youssra ; Amine, Saida. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:161:y:2022:i:c:s0960077922006063.

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2022CDS pricing with fractional Hawkes processes. (2022). Hainaut, Donatien ; Ketelbuters, John-John. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:3:p:1139-1150.

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2022Condition-based maintenance for a system subject to multiple degradation processes with stochastic arrival intensity. (2022). Landesa, Luis ; Castro, Inma T ; Bautista, Lucia. In: European Journal of Operational Research. RePEc:eee:ejores:v:302:y:2022:i:2:p:560-574.

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2021From bottom ten to top ten: The role of cryptocurrencies in enhancing portfolio return of poorly performing stocks. (2021). Matkovskyy, Roman ; Bouraoui, Taoufik ; Dowling, Michael ; Jalan, Akanksha. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319309894.

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2021How are Bitcoin forks related to Bitcoin?. (2021). Bazan-Palomino, Walter. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320307522.

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2022On single point forecasts for fat-tailed variables. (2022). Cirillo, Pasquale ; Bar-Yam, Yaneer ; Taleb, Nassim Nicholas. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:2:p:413-422.

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2021An agent-based model of intra-day financial markets dynamics. (2021). Napoletano, Mauro ; Staccioli, Jacopo. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:182:y:2021:i:c:p:331-348.

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2022Arbitrage breakdown in WTI crude oil futures: An analysis of the events on April 20, 2020. (2022). Kane, Stephen ; Burns, Christopher B. In: Resources Policy. RePEc:eee:jrpoli:v:76:y:2022:i:c:s030142072200054x.

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2022Chaos, Hopf bifurcation and control of a fractional-order delay financial system. (2022). Fang, Hui ; He, KE ; Shi, Jianping. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:194:y:2022:i:c:p:348-364.

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2021Dynamical prediction model of consumers’ purchase intentions regarding anti-smog products during smog risk: Taking the information flow perspective. (2021). Yuan, YU ; Wang, Fei ; Lu, Liangdong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:563:y:2021:i:c:s0378437120307573.

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2021On discrete time Prabhakar-generalized fractional Poisson processes and related stochastic dynamics. (2021). Riascos, Alejandro P ; Polito, Federico ; Michelitsch, Thomas M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:565:y:2021:i:c:s0378437120308396.

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2021The use of scaling properties to detect relevant changes in financial time series: A new visual warning tool. (2021). di Matteo, T ; Magafas, L ; Brandi, Giuseppe ; Antoniades, I P. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:565:y:2021:i:c:s0378437120308591.

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2021Competition, Diversity and Quality. (2021). Ribeiro, Andre F. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:568:y:2021:i:c:s037843712030981x.

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2021Dynamics of the price behavior in stock markets: A statistical physics approach. (2021). Desgranges, Gabriel ; Diep, Hung T. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:570:y:2021:i:c:s0378437121000856.

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2021A multi-scale symmetry analysis of uninterrupted trends returns in daily financial indices. (2021). Hernandez-Montoya, A R ; Coronel-Brizio, H F ; Rodriguez-Martinez, C M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:574:y:2021:i:c:s0378437121002545.

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2021Student’s t mixture models for stock indices. A comparative study. (2021). Ramos, Arturo ; Massing, Till. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:580:y:2021:i:c:s0378437121004167.

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2022Censored expectation maximization algorithm for mixtures: Application to intertrade waiting times. (2022). Thomas, Anthony W ; Kizilersu, Ayse ; Kreer, Markus. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:587:y:2022:i:c:s0378437121007299.

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2022Testing stationarity of the detrended price return in stock markets. (2022). Alonso-Marroquin, Fernando ; Tang, Yaoyue ; Harre, Michael S ; Najafi, Morteza N ; Arias-Calluari, Karina. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:587:y:2022:i:c:s0378437121007603.

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2022Multiscale complexity fluctuation behaviours of stochastic interacting cryptocurrency price model. (2022). Zhang, Junhuan ; Lu, Yunfan ; Zheng, Zhiyong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:593:y:2022:i:c:s0378437122000528.

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2022Power law dynamics in genealogical graphs. (2022). Do, Jose Claudio ; Bezerra, Francisco Leonardo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:596:y:2022:i:c:s0378437122001789.

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2022A random walk model with a mixed memory profile: Exponential and rectangular profile. (2022). da Silva, M. A. A., ; Cressoni, J C ; Viswanathan, G M ; de Lacerda, K. J. C. C., . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:597:y:2022:i:c:s0378437122002497.

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2022Functional limit theorems for nonstationary marked Hawkes processes in the high intensity regime. (2022). Pang, Guodong ; Li, BO. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:143:y:2022:i:c:p:285-339.

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2022An elementary proof for dynamical scaling for certain fractional non-homogeneous Poisson processes. (2022). Kreer, Markus. In: Statistics & Probability Letters. RePEc:eee:stapro:v:182:y:2022:i:c:s0167715221002583.

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2021How Many Stocks Are Sufficient for Equity Portfolio Diversification? A Review of the Literature. (2021). Arnaut-Berilo, Almira ; Omanovic, Adna ; Zaimovic, Azra. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:551-:d:679488.

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2021Multivariate Distribution in the Stock Markets of Brazil, Russia, India, and China. (2021). Bautista, Ramona Serrano ; Nez, Jos Antonio ; Mata, Leovardo Mata. In: SAGE Open. RePEc:sae:sagope:v:11:y:2021:i:2:p:21582440211009509.

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2021Estimating the proportion of informed and speculative traders in financial markets: evidence from exchange rate. (2021). Tsai, Chi-Ming . In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:16:y:2021:i:3:d:10.1007_s11403-020-00308-z.

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2022Large and uncertain heterogeneity of expectations: stability of equilibrium from a policy maker standpoint. (2022). Valori, Vincenzo ; Vigna, Matteo ; Colucci, Domenico. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:17:y:2022:i:1:d:10.1007_s11403-021-00335-4.

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2022Moments for Hawkes Processes with Gamma Decay Kernel Functions. (2022). Yin, Juan ; Wu, Bei ; Cui, Lirong. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:3:d:10.1007_s11009-020-09840-8.

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2021Short-term market efficiency indicator based on the waiting-time distribution. (2021). Deleze, Frederic ; Osmekhin, Sergey ; Hussain, Syed Mujahid. In: Review of Managerial Science. RePEc:spr:rvmgts:v:15:y:2021:i:6:d:10.1007_s11846-020-00398-w.

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2021Growth and dynamics of Econophysics: a bibliometric and network analysis. (2021). Khurana, Parul ; Sharma, Kiran. In: Scientometrics. RePEc:spr:scient:v:126:y:2021:i:5:d:10.1007_s11192-021-03884-4.

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Enrico Scalas has edited the books:


YearTitleTypeCited

Works by Enrico Scalas:


YearTitleTypeCited
2007The value of information in financial markets: An agent-based simulation In: Papers.
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paper2
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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paper7
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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paper16
2011The fine structure of spectral properties for random correlation matrices: an application to financial markets.(2011) In: MPRA Paper.
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This paper has another version. Agregated cites: 16
paper
2011A class of CTRWs: Compound fractional Poisson processes In: Papers.
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paper1
2011Full characterization of the fractional Poisson process In: Papers.
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paper7
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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This paper has another version. Agregated cites: 0
paper
2012On the non-stationarity of financial time series: impact on optimal portfolio selection In: Papers.
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paper13
2012Analysis of short term price trends in daily stock-market index data In: Papers.
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paper2
2017Modeling non-stationarities in high-frequency financial time series In: Papers.
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paper5
2019Modeling non-stationarities in high-frequency financial time series.(2019) In: Physica A: Statistical Mechanics and its Applications.
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article
2013Ergodic transition in a simple model of the continuous double auction In: Papers.
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paper1
2014Ergodic Transition in a Simple Model of the Continuous Double Auction.(2014) In: PLOS ONE.
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article
2016Low-traffic limit and first-passage times for a simple model of the continuous double auction In: Papers.
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paper2
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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2021A 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
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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article
2020Continuum and thermodynamic limits for a simple random-exchange model In: Papers.
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paper0
2022Continuum and thermodynamic limits for a simple random-exchange model.(2022) In: Stochastic Processes and their Applications.
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2000Fractional calculus and continuous-time finance In: Papers.
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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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paper1
2000Fractional calculus and continuous-time finance II: the waiting-time distribution In: Papers.
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paper115
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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paper59
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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paper2
2004On pricing of interest rate derivatives.(2004) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 2
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2005Five Years of Continuous-time Random Walks in Econophysics In: Papers.
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2006Five Years of Continuous-time Random Walks in Econophysics.(2006) In: Lecture Notes in Economics and Mathematical Systems.
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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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paper2
2007Mixtures of compound Poisson processes as models of tick-by-tick financial data.(2007) In: Chaos, Solitons & Fractals.
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This paper has another version. Agregated cites: 2
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2006Growth and Allocation of Resources in Economics: The Agent-Based Approach In: Papers.
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paper4
2006Growth and allocation of resources in economics: The agent-based approach.(2006) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 4
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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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paper17
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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