Enrico Scalas

Names

first:	Enrico
last:	Scalas

Identifer

RePEc Short-ID:

psc89

Contact

homepage:	https://corsidilaurea.uniroma1.it/it/users/enricoscalasuniroma1it
phone:	+39 06 4991 0463
postal address:	Department of Statistical Sciences Sapienza University of Rome Piazzale Aldo Moro 5, 00185 Roma RM Italy

Affiliations

"Sapienza" Università di Roma / Dipartimento di Scienze Statistiche
- EDIRC entry
- location:

Research profile

author of:

The rough Hawkes process (repec:aiz:louvad:2023007)
by Hainaut, Donatien & Chen, Maggie & Scalas, Enrico
The rough Hawkes process (repec:aiz:louvar:2024044)
by Hainaut, Donatien & Chen, Jing & 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
An empirical data analysis of “price runs” in daily financial indices: Dynamically assessing market geometric distributional behavior (repec:plo:pone00:0270492)
by Héctor Raúl Olivares-Sánchez & Carlos Manuel Rodríguez-Martínez & Héctor Francisco Coronel-Brizio & Enrico Scalas & Thomas Henry Seligman & Alejandro Raúl Hernández-Montoya
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 Mauro Politi & Enrico Scalas
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
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
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
Editorial (repec:spr:jeicoo:v:3:y:2008:i:1:p:1-1)
by Akira Namatame & Taisei Kaizoji & Enrico Scalas
A Restless Time-Fractional Multiclass Queue (repec:spr:jotpro:v:39:y:2026:i:2:d:10.1007_s10959-026-01494-5)
by Nicos Georgiou & Enrico Scalas & Vladislav Vysotsky
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 Lukáš Pichl & Cheoljun Eom & Enrico Scalas & Taisei Kaizoji (ed.)
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
The rough Hawkes process (repec:taf:lstaxx:v:54:y:2025:i:11:p:3322-3349)
by Donatien Hainaut & Jing Chen & 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

The profile is maintained by Enrico Scalas

Permanent link: http://authors.repec.org/pro/psc89/