Enrico Scalas
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author of:
- The rough Hawkes process (RePEc:aiz:louvad:2023007)
by Hainaut, Donatien & Chen, Maggie & Scalas, Enrico - The value of information in financial markets: An agent-based simulation (RePEc:arx:papers:0712.2687)
by Bence Toth & Enrico Scalas - Activity spectrum from waiting-time distribution (RePEc:arx:papers:0801.3043)
by Mauro Politi & Enrico Scalas - Stochastic calculus for uncoupled continuous-time random walks (RePEc:arx:papers:0802.3769)
by Guido Germano & Mauro Politi & Enrico Scalas & Ren'e L. Schilling - The distribution of first-passage times and durations in FOREX and future markets (RePEc:arx:papers:0808.0372)
by Naoya Sazuka & Jun-ichi Inoue & Enrico Scalas - Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation (RePEc:arx:papers:0903.1629)
by Mauro Politi & Enrico Scalas & Daniel Fulger & Guido Germano - On-line trading as a renewal process: Waiting time and inspection paradox (RePEc:arx:papers:1007.3347)
by Jun-ichi Inoue & Naoya Sazuka & Enrico Scalas - The fine structure of spectral properties for random correlation matrices: an application to financial markets (RePEc:arx:papers:1102.4076)
by G. Livan & S. Alfarano & E. Scalas - A class of CTRWs: Compound fractional Poisson processes (RePEc:arx:papers:1103.0647)
by Enrico Scalas - Full characterization of the fractional Poisson process (RePEc:arx:papers:1104.4234)
by Mauro Politi & Taisei Kaizoji & Enrico Scalas - A parsimonious model for intraday European option pricing (RePEc:arx:papers:1202.4332)
by Enrico Scalas & Mauro Politi - On the non-stationarity of financial time series: impact on optimal portfolio selection (RePEc:arx:papers:1205.0877)
by Giacomo Livan & Jun-ichi Inoue & Enrico Scalas - Analysis of short term price trends in daily stock-market index data (RePEc:arx:papers:1211.3060)
by H. F. Coronel-Brizio & A. R. Hern'andez Montoya & H. R Olivares S'anchez & E. Scalas - Modeling non-stationarities in high-frequency financial time series (RePEc:arx:papers:1212.0479)
by Linda Ponta & Mailan Trinh & Marco Raberto & Enrico Scalas & Silvano Cincotti - Ergodic transition in a simple model of the continuous double auction (RePEc:arx:papers:1305.2716)
by Tijana Radivojevi'c & Jonatha Anselmi & Enrico Scalas - Low-traffic limit and first-passage times for a simple model of the continuous double auction (RePEc:arx:papers:1603.09666)
by Enrico Scalas & Fabio Rapallo & Tijana Radivojevi'c - A stylized model for wealth distribution (RePEc:arx:papers:1609.08978)
by Bertram During & Nicos Georgiou & Enrico Scalas - Performance of information criteria used for model selection of Hawkes process models of financial data (RePEc:arx:papers:1702.06055)
by J. M. Chen & A. G. Hawkes & E. Scalas & M. Trinh - Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market (RePEc:arx:papers:1904.02567)
by Cheoljun Eom & Taisei Kaizoji & Enrico Scalas - Continuum and thermodynamic limits for a simple random-exchange model (RePEc:arx:papers:2003.00930)
by Bertram During & Nicos Georgiou & Sara Merino-Aceituno & Enrico Scalas - Fractional calculus and continuous-time finance (RePEc:arx:papers:cond-mat/0001120)
by Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi - Learning short-option valuation in the presence of rare events (RePEc:arx:papers:cond-mat/0001253)
by M. Raberto & G. Cuniberti & E. Scalas & M. Riani & F. Mainardi & G. Servizi - Fractional calculus and continuous-time finance II: the waiting-time distribution (RePEc:arx:papers:cond-mat/0006454)
by Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas - The waiting-time distribution of LIFFE bond futures (RePEc:arx:papers:cond-mat/0012497)
by Marco Raberto & Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi - Waiting-times and returns in high-frequency financial data: an empirical study (RePEc:arx:papers:cond-mat/0203596)
by M. Raberto & E. Scalas & F. Mainardi - Anomalous waiting times in high-frequency financial data (RePEc:arx:papers:cond-mat/0310305)
by Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi & Maurizio Mantelli & Marco Raberto - On pricing of interest rate derivatives (RePEc:arx:papers:cond-mat/0401445)
by T. Di Matteo & M. Airoldi & E. Scalas - Five Years of Continuous-time Random Walks in Econophysics (RePEc:arx:papers:cond-mat/0501261)
by Enrico Scalas - Basel II for Physicists: A Discussion Paper (RePEc:arx:papers:cond-mat/0501320)
by Enrico Scalas - Correlations in the Bond-Future Market (RePEc:arx:papers:cond-mat/9903220)
by Gianaurelio Cuniberti & Marco Raberto & Enrico Scalas - Volatility in the Italian Stock Market: an Empirical Study (RePEc:arx:papers:cond-mat/9903221)
by Marco Raberto & Enrico Scalas & Gianaurelio Cuniberti & Massimo Riani - Anomalous waiting times in high-frequency financial data (RePEc:arx:papers:physics/0505210)
by Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto - Mixtures of compound Poisson processes as models of tick-by-tick financial data (RePEc:arx:papers:physics/0608217)
by Enrico Scalas - Growth and Allocation of Resources in Economics: The Agent-Based Approach (RePEc:arx:papers:physics/0608221)
by Enrico Scalas & Mauro Gallegati & Eric Guerci & David Mas & Alessandra Tedeschi - The art of fitting financial time series with Levy stable distributions (RePEc:arx:papers:physics/0608224)
by Enrico Scalas & Kyungsik Kim - Waiting times between orders and trades in double-auction markets (RePEc:arx:papers:physics/0608273)
by Enrico Scalas & Taisei Kaizoji & Michael Kirchler & Juergen Huber & Alessandra Tedeschi - Coupled continuous time random walks in finance (RePEc:arx:papers:physics/0608281)
by Mark M. Meerschaert & Enrico Scalas - The value of information in a multi-agent market model (RePEc:arx:papers:physics/0610026)
by Bence Toth & Enrico Scalas & Juergen Huber & Michael Kirchler - Finitary Probabilistic Methods in Econophysics (RePEc:cup:cbooks:9780521515597)
by Garibaldi,Ubaldo & Scalas,Enrico - Mixtures of compound Poisson processes as models of tick-by-tick financial data (RePEc:eee:chsofr:v:34:y:2007:i:1:p:33-40)
by Scalas, Enrico - Limitations of portfolio diversification through fat tails of the return Distributions: Some empirical evidence (RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302394)
by Eom, Cheoljun & Kaizoji, Taisei & Livan, Giacomo & Scalas, Enrico - Temperature and disequilibrium dependence of cluster growth (RePEc:eee:phsmap:v:203:y:1994:i:3:p:347-358)
by Gliozzi, A. & Levi, A.C. & Menessini, M. & Scalas, E. - Multi-site correlation functions in two-dimensional lattice gases (RePEc:eee:phsmap:v:223:y:1996:i:1:p:149-166)
by Danani, A. & Ferrando, R. & Scalas, E. & Torri, M. - Scaling in the market of futures (RePEc:eee:phsmap:v:253:y:1998:i:1:p:394-402)
by Scalas, Enrico - Dynamic scaling of a reaction-limited decay process (RePEc:eee:phsmap:v:254:y:1998:i:3:p:348-357)
by Reverberi, A.P. & Scalas, E. - Volatility in the Italian stock market: an empirical study (RePEc:eee:phsmap:v:269:y:1999:i:1:p:148-155)
by Raberto, Marco & Scalas, Enrico & Cuniberti, Gianaurelio & Riani, Massimo - Correlations in the bond-future market (RePEc:eee:phsmap:v:269:y:1999:i:1:p:90-97)
by Cuniberti, Gianaurelio & Raberto, Marco & Scalas, Enrico - Morphologies in two-dimensional growth with attractive long-range interactions (RePEc:eee:phsmap:v:273:y:1999:i:3:p:217-230)
by Indiveri, G & Scalas, E & Levi, A.C & Gliozzi, A - Fractional calculus and continuous-time finance (RePEc:eee:phsmap:v:284:y:2000:i:1:p:376-384)
by Scalas, Enrico & Gorenflo, Rudolf & Mainardi, Francesco - Fractional calculus and continuous-time finance II: the waiting-time distribution (RePEc:eee:phsmap:v:287:y:2000:i:3:p:468-481)
by Mainardi, Francesco & Raberto, Marco & Gorenflo, Rudolf & Scalas, Enrico - Waiting-times and returns in high-frequency financial data: an empirical study (RePEc:eee:phsmap:v:314:y:2002:i:1:p:749-755)
by Raberto, Marco & Scalas, Enrico & Mainardi, Francesco - On pricing of interest rate derivatives (RePEc:eee:phsmap:v:339:y:2004:i:1:p:189-196)
by Di Matteo, T. & Airoldi, M. & Scalas, E. - The application of continuous-time random walks in finance and economics (RePEc:eee:phsmap:v:362:y:2006:i:2:p:225-239)
by Scalas, Enrico - Waiting times between orders and trades in double-auction markets (RePEc:eee:phsmap:v:366:y:2006:i:c:p:463-471)
by Scalas, Enrico & Kaizoji, Taisei & Kirchler, Michael & Huber, Jürgen & Tedeschi, Alessandra - Coupled continuous time random walks in finance (RePEc:eee:phsmap:v:370:y:2006:i:1:p:114-118)
by Meerschaert, Mark M. & Scalas, Enrico - Growth and allocation of resources in economics: The agent-based approach (RePEc:eee:phsmap:v:370:y:2006:i:1:p:86-90)
by Scalas, Enrico & Gallegati, Mauro & Guerci, Eric & Mas, David & Tedeschi, Alessandra - Power laws from randomly sampled continuous-time random walks (RePEc:eee:phsmap:v:375:y:2007:i:1:p:233-238)
by Mosetti, Giancarlo & Jug, Giancarlo & Scalas, Enrico - Volatilities, traded volumes, and the hypothesis of price increments in derivative securities (RePEc:eee:phsmap:v:382:y:2007:i:2:p:577-585)
by Lim, Gyuchang & Kim, SooYong & Scalas, Enrico & Kim, Kyungsik - Activity spectrum from waiting-time distribution (RePEc:eee:phsmap:v:383:y:2007:i:1:p:43-48)
by Politi, Mauro & Scalas, Enrico - Analysis of price fluctuations in futures exchange markets (RePEc:eee:phsmap:v:387:y:2008:i:12:p:2823-2830)
by Lim, Gyuchang & Kim, SooYong & Scalas, Enrico & Kim, Kyungsik & Chang, Ki-Ho - Dynamical behaviors of inter-out-of-equilibrium state intervals in Korean futures exchange markets (RePEc:eee:phsmap:v:387:y:2008:i:12:p:2831-2836)
by Lim, Gyuchang & Kim, SooYong & Kim, Kyungsik & Lee, Dong-In & Scalas, Enrico - Accuracy and robustness of clustering algorithms for small-size applications in bioinformatics (RePEc:eee:phsmap:v:387:y:2008:i:25:p:6310-6318)
by Minicozzi, Pamela & Rapallo, Fabio & Scalas, Enrico & Dondero, Francesco - Statistical auditing and randomness test of lotto k/N-type games (RePEc:eee:phsmap:v:387:y:2008:i:25:p:6385-6390)
by Coronel-Brizio, H.F. & Hernández-Montoya, A.R. & Rapallo, F. & Scalas, E. - Fitting the empirical distribution of intertrade durations (RePEc:eee:phsmap:v:387:y:2008:i:8:p:2025-2034)
by Politi, Mauro & Scalas, Enrico - The distribution of first-passage times and durations in FOREX and future markets (RePEc:eee:phsmap:v:388:y:2009:i:14:p:2839-2853)
by Sazuka, Naoya & Inoue, Jun-ichi & Scalas, Enrico - A random telegraph signal of Mittag-Leffler type (RePEc:eee:phsmap:v:388:y:2009:i:19:p:3991-3999)
by Ferraro, Simone & Manzini, Michele & Masoero, Aldo & Scalas, Enrico - Low-traffic limit and first-passage times for a simple model of the continuous double auction (RePEc:eee:phsmap:v:485:y:2017:i:c:p:61-72)
by Scalas, Enrico & Rapallo, Fabio & Radivojević, Tijana - Modeling non-stationarities in high-frequency financial time series (RePEc:eee:phsmap:v:521:y:2019:i:c:p:173-196)
by Ponta, Linda & Trinh, Mailan & Raberto, Marco & Scalas, Enrico & Cincotti, Silvano - Fat tails in financial return distributions revisited: Evidence from the Korean stock market (RePEc:eee:phsmap:v:526:y:2019:i:c:s0378437119306442)
by Eom, Cheoljun & Kaizoji, Taisei & Scalas, Enrico - A fractional Hawkes process II: Further characterization of the process (RePEc:eee:phsmap:v:615:y:2023:i:c:s0378437123001516)
by Habyarimana, Cassien & Aduda, Jane A. & Scalas, Enrico & Chen, Jing & Hawkes, Alan G. & Polito, Federico - A functional limit theorem for stochastic integrals driven by a time-changed symmetric α-stable Lévy process (RePEc:eee:spapps:v:124:y:2014:i:1:p:385-410)
by Scalas, Enrico & Viles, Noèlia - Continuum and thermodynamic limits for a simple random-exchange model (RePEc:eee:spapps:v:149:y:2022:i:c:p:248-277)
by Düring, Bertram & Georgiou, Nicos & Merino-Aceituno, Sara & Scalas, Enrico - The fractional non-homogeneous Poisson process (RePEc:eee:stapro:v:120:y:2017:i:c:p:147-156)
by Leonenko, Nikolai & Scalas, Enrico & Trinh, Mailan - Large scale simulation of synthetic markets (RePEc:ehl:lserod:67563)
by Gerardo-Giorda, Luca & Germano, Guido & Scalas, Enrico - Growth and allocation of resources in economics: The agent-based approach (RePEc:hal:journl:halshs-00871047)
by Eric Guerci & Enrico Scalas & Mauro Gallegati & David Mas & Alessandra Tedeschi - A spectral perspective on excess volatility (RePEc:jau:wpaper:2014/13)
by Giacomo Livan & Simone Alfarano & Mishael Milakovic & Enrico Scalas - Semi-Markov Graph Dynamics (RePEc:plo:pone00:0023370)
by Marco Raberto & Fabio Rapallo & Enrico Scalas - Ergodic Transition in a Simple Model of the Continuous Double Auction (RePEc:plo:pone00:0088095)
by Tijana Radivojević & Jonatha Anselmi & Enrico Scalas - The Kuznets Curve and the Inequality Process (RePEc:pra:mprapa:16058)
by Angle, John & Nielsen, Francois & Scalas, Enrico - The fine structure of spectral properties for random correlation matrices: an application to financial markets (RePEc:pra:mprapa:28964)
by Livan, Giacomo & Alfarano, Simone & Scalas, Enrico - The art of fitting financial time series with Levy stable distributions (RePEc:pra:mprapa:336)
by Scalas, Enrico & Kim, Kyungsik - The value of information in a multi-agent market model (RePEc:pra:mprapa:341)
by Toth, Bence & Scalas, Enrico & Huber, Juergen & Kirchler, Michael - Stochastic integration for uncoupled continuous-time random walks (RePEc:pra:mprapa:7341)
by Scalas, Enrico & Germano, Guido & Politi, Mauro & Schilling, René L. - From Renewal Theory to High-Frequency Finance (RePEc:ris:ejessy:0063)
by Politi, Mauro & Scalas, Enrico - A double-auction artificial market with time-irregularly spaced orders (RePEc:sce:scecf4:225)
by Enrico Scalas & Silvano Cincotti - Speculative option valuation: A supercomputing approach (RePEc:sce:scecf4:269)
by Enrico Scalas & Alessandro Vivoli & Paride Dagna & Guido Germano - Statistical equilibrium in simple exchange games I (RePEc:spr:eurphb:v:53:y:2006:i:2:p:267-272)
by E. Scalas & U. Garibaldi & S. Donadio - The value of information in a multi-agent market model (RePEc:spr:eurphb:v:55:y:2007:i:1:p:115-120)
by B. Tóth & E. Scalas & J. Huber & M. Kirchler - Statistical equilibrium in simple exchange games II. The redistribution game (RePEc:spr:eurphb:v:60:y:2007:i:2:p:241-246)
by U. Garibaldi & E. Scalas & P. Viarengo - Statistical equilibrium in simple exchange games I (RePEc:spr:eurphb:v:60:y:2007:i:2:p:271-272)
by E. Scalas & U. Garibaldi & S. Donadio - Spectral densities of Wishart-Lévy free stable random matrices (RePEc:spr:eurphb:v:73:y:2010:i:1:p:13-22)
by M. Politi & E. Scalas & D. Fulger & G. Germano - Continuous-time statistics and generalized relaxation equations (RePEc:spr:eurphb:v:90:y:2017:i:11:d:10.1140_epjb_e2017-80311-5)
by Enrico Scalas - Wealth distribution and the Lorenz curve: a finitary approach (RePEc:spr:jeicoo:v:10:y:2015:i:1:p:79-89)
by Enrico Scalas & Tijana Radivojević & Ubaldo Garibaldi - Aggregation of Heterogeneous Interacting Agents: The Variant Representative Agent Framework (RePEc:spr:jeicoo:v:1:y:2006:i:1:p:5-19)
by M. Gallegati & A. Palestrini & D. Gatti & E. Scalas - Editorial (RePEc:spr:jeicoo:v:3:y:2008:i:1:p:1-1)
by Akira Namatame & Taisei Kaizoji & Enrico Scalas - Fraudulent Agents in an Artificial Financial Market (RePEc:spr:lnechp:978-3-540-27296-0_21)
by Enrico Scalas & Silvano Cincotti & Christian Dose & Marco Raberto - Five Years of Continuous-time Random Walks in Econophysics (RePEc:spr:lnechp:978-3-540-28727-8_1)
by Enrico Scalas - The Waiting-Time Distribution of Trading Activity in a Double Auction Artificial Financial Market (RePEc:spr:lnechp:978-3-540-28727-8_16)
by Silvano Cincotti & Sergio M. Focardi & Linda Ponta & Marco Raberto & Enrico Scalas - A stylized model for the continuous double auction (RePEc:spr:lnechp:978-3-642-31301-1_10)
by Tijana Radivojević & Jonatha Anselmi & Enrico Scalas - Advanced Studies of Financial Technologies and Cryptocurrency Markets (RePEc:spr:sprbok:978-981-15-4498-9)
by None - A spectral perspective on excess volatility (RePEc:taf:apeclt:v:22:y:2015:i:9:p:745-750)
by Giacomo Livan & Simone Alfarano & Mishael Milaković & Enrico Scalas - Fractional non-homogeneous Poisson and Pólya-Aeppli processes of order k and beyond (RePEc:taf:lstaxx:v:52:y:2023:i:8:p:2682-2701)
by Tetyana Kadankova & Nikolai Leonenko & Enrico Scalas - Editors’ foreword (RePEc:taf:quantf:v:18:y:2018:i:2:p:191-192)
by Maggie Chen & Alan Hawkes & Khaldoun Khashanah & David McMillan & Mathieu Rosenbaum & Enrico Scalas & Steve Yang - Performance of information criteria for selection of Hawkes process models of financial data (RePEc:taf:quantf:v:18:y:2018:i:2:p:225-235)
by J. Chen & A. G. Hawkes & E. Scalas & M. Trinh - Anomalous waiting times in high-frequency financial data (RePEc:taf:quantf:v:4:y:2004:i:6:p:695-702)
by Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto - Correlations in the Bond–Future Market (RePEc:wpa:wuwpfi:0411005)
by Gianaurelio Cuniberti & Marco Raberto & Enrico Scalas - Volatility in the Italian Stock Market: An Empirical Study (RePEc:wpa:wuwpfi:0411006)
by Marco Raberto & Enrico Scalas & Gianaurelio Cuniberti & Massimo Riani - Fractional calculus and continuous-time finance (RePEc:wpa:wuwpfi:0411007)
by Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi - Fractional calculus and continuous-time finance II: the waiting- time distribution (RePEc:wpa:wuwpfi:0411008)
by Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas - Waiting-times and returns in high-frequency financial data: an empirical study (RePEc:wpa:wuwpfi:0411014)
by Marco Raberto & Enrico Scalas & Francesco Mainardi - Five Years of Continuous-time Random Walks in Econophysics (RePEc:wpa:wuwpfi:0501005)
by Enrico Scalas - Editorial: Complex Networks (RePEc:wsi:acsxxx:v:12:y:2009:i:01:n:s0219525909002118)
by Enrico Scalas & Frank Schweitzer - Dynamics Of Avalanche Activities In Financial Markets (RePEc:wsi:ijmpcx:v:18:y:2007:i:01:n:s0129183107010322)
by Cheol-Hyun Kim & C. H. Park & Soo Yong Kim & Kyungsik Kim & Enrico Scalas - A spectral perspective on excess volatility (RePEc:zbw:fmpwps:12)
by Livan, Giacomo & Alfarano, Simone & Milakovic, Mishael & Scalas, Enrico - A parsimonious model for intraday European option pricing (RePEc:zbw:ifwedp:201214)
by Scalas, Enrico & Politi, Mauro - A Note on Aoki-Yoshikawa Model (RePEc:zbw:ifwedp:7455)
by Scalas, Enrico & Garibaldi, Ubaldo - A Dynamic Probabilistic Version of the Aoki-Yoshikawa Sectoral Productivity Model (RePEc:zbw:ifweej:7601)
by Scalas, Enrico & Garibaldi, Ubaldo