Enrico Scalas

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Research profile

author of:

• Correlations in the Bond–Future Market
  by Gianaurelio Cuniberti & Marco Raberto & Enrico Scalas
• Fractional calculus and continuous-time finance
  by Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi
• Volatility in the Italian Stock Market: An Empirical Study
  by Marco Raberto & Enrico Scalas & Gianaurelio Cuniberti & Massimo Riani
• Fractional calculus and continuous-time finance II: the waiting- time distribution
  by Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas
• Waiting-times and returns in high-frequency financial data: an empirical study
  by Marco Raberto & Enrico Scalas & Francesco Mainardi
• Speculative option valuation: A supercomputing approach
  by Enrico Scalas & Alessandro Vivoli & Paride Dagna & Guido Germano
• A double-auction artificial market with time-irregularly spaced orders
  by Enrico Scalas & Silvano Cincotti
• Five Years of Continuous-time Random Walks in Econophysics
  by Enrico Scalas
• The value of information in a multi-agent market model
  by Toth, Bence & Scalas, Enrico & Huber, Juergen & Kirchler, Michael
• The art of fitting financial time series with Levy stable distributions
  by Scalas, Enrico & Kim, Kyungsik
• Stochastic integration for uncoupled continuous-time random walks
  by Scalas, Enrico & Germano, Guido & Politi, Mauro & Schilling, René L.
• A Note on Aoki-Yoshikawa Model
  by Scalas, Enrico & Garibaldi, Ubaldo
• Aggregation of Heterogeneous Interacting Agents: The Variant Representative Agent Framework
  by M. Gallegati & A. Palestrini & D. Gatti & E. Scalas
• The Kuznets Curve and the Inequality Process
  by Angle, John & Nielsen, Francois & Scalas, Enrico
• A Dynamic Probabilistic Version of the Aoki-Yoshikawa Sectoral Productivity Model
  by Scalas, Enrico & Garibaldi, Ubaldo
• Anomalous waiting times in high-frequency financial data
  by Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto
• The distribution of first-passage times and durations in FOREX and future markets
  by Naoya Sazuka & Jun-ichi Inoue & Enrico Scalas
• Basel II for Physicists: A Discussion Paper
  by Enrico Scalas
• Volatility in the Italian Stock Market: an Empirical Study
  by Marco Raberto & Enrico Scalas & Gianaurelio Cuniberti & Massimo Riani
• Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation
  by Mauro Politi & Enrico Scalas & Daniel Fulger & Guido Germano
• The value of information in a multi-agent market model
  by Bence Toth & Enrico Scalas & Juergen Huber & Michael Kirchler
• The value of information in financial markets: An agent-based simulation
  by Bence Toth & Enrico Scalas
• Learning short-option valuation in the presence of rare events
  by M. Raberto & G. Cuniberti & E. Scalas & M. Riani & F. Mainardi & G. Servizi
• The art of fitting financial time series with Levy stable distributions
  by Enrico Scalas & Kyungsik Kim
• Waiting times between orders and trades in double-auction markets
  by Enrico Scalas & Taisei Kaizoji & Michael Kirchler & Juergen Huber & Alessandra Tedeschi
• Growth and Allocation of Resources in Economics: The Agent-Based Approach
  by Enrico Scalas & Mauro Gallegati & Eric Guerci & David Mas & Alessandra Tedeschi
• Stochastic calculus for uncoupled continuous-time random walks
  by Guido Germano & Mauro Politi & Enrico Scalas & Ren\'e L. Schilling
• Correlations in the Bond-Future Market
  by Gianaurelio Cuniberti & Marco Raberto & Enrico Scalas
• Fractional calculus and continuous-time finance
  by Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi
• Waiting-times and returns in high-frequency financial data: an empirical study
  by M. Raberto & E. Scalas & F. Mainardi
• Fractional calculus and continuous-time finance II: the waiting-time distribution
  by Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas
• Anomalous waiting times in high-frequency financial data
  by Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi & Maurizio Mantelli & Marco Raberto
• Coupled continuous time random walks in finance
  by Mark M. Meerschaert & Enrico Scalas
• On pricing of interest rate derivatives
  by T. Di Matteo & M. Airoldi & E. Scalas
• Activity spectrum from waiting-time distribution
  by Mauro Politi & Enrico Scalas
• The waiting-time distribution of LIFFE bond futures
  by Marco Raberto & Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi
• Five Years of Continuous-time Random Walks in Econophysics
  by Enrico Scalas
• Mixtures of compound Poisson processes as models of tick-by-tick financial data
  by Enrico Scalas
• Editorial
  by Akira Namatame & Taisei Kaizoji & Enrico Scalas
• On-line trading as a renewal process: Waiting time and inspection paradox
  by Jun-ichi Inoue & Naoya Sazuka & Enrico Scalas
• A class of CTRWs: Compound fractional Poisson processes
  by Enrico Scalas
• The fine structure of spectral properties for random correlation matrices: an application to financial markets
  by G. Livan & S. Alfarano & E. Scalas
• The fine structure of spectral properties for random correlation matrices: an application to financial markets
  by Livan, Giacomo & Alfarano, Simone & Scalas, Enrico
• Full characterization of the fractional Poisson process
  by Mauro Politi & Taisei Kaizoji & Enrico Scalas
• Statistical equilibrium in simple exchange games II. The redistribution game
  by U. Garibaldi & E. Scalas & P. Viarengo
• Spectral densities of Wishart-Lévy free stable random matrices
  by M. Politi & E. Scalas & D. Fulger & G. Germano
• A parsimonious model for intraday European option pricing
  by Enrico Scalas & Mauro Politi
• Statistical equilibrium in simple exchange games I
  by E. Scalas & U. Garibaldi & S. Donadio
• Anomalous waiting times in high-frequency financial data
  by Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto
• Statistical equilibrium in simple exchange games I
  by E. Scalas & U. Garibaldi & S. Donadio
• The value of information in a multi-agent market model
  by B. Tóth & E. Scalas & J. Huber & M. Kirchler
• A parsimonious model for intraday European option pricing
  by Scalas, Enrico & Politi, Mauro
• On the non-stationarity of financial time series: impact on optimal portfolio selection
  by Giacomo Livan & Jun-ichi Inoue & Enrico Scalas
• Temperature and disequilibrium dependence of cluster growth
  by Gliozzi, A. & Levi, A. C. & Menessini, M. & Scalas, E.
• Multi-site correlation functions in two-dimensional lattice gases
  by Danani, A. & Ferrando, R. & Scalas, E. & Torri, M.
• On pricing of interest rate derivatives
  by Di Matteo, T. & Airoldi, M. & Scalas, E.
• Growth and allocation of resources in economics: The agent-based approach
  by Scalas, Enrico & Gallegati, Mauro & Guerci, Eric & Mas, David & Tedeschi, Alessandra
• Fitting the empirical distribution of intertrade durations
  by Politi, Mauro & Scalas, Enrico
• Statistical auditing and randomness test of lotto k/N-type games
  by Coronel-Brizio, H. F. & Hernández-Montoya, A. R. & Rapallo, F. & Scalas, E.
• Volatilities, traded volumes, and the hypothesis of price increments in derivative securities
  by Lim, Gyuchang & Kim, SooYong & Scalas, Enrico & Kim, Kyungsik
• Waiting-times and returns in high-frequency financial data: an empirical study
  by Raberto, Marco & Scalas, Enrico & Mainardi, Francesco
• Fractional calculus and continuous-time finance
  by Scalas, Enrico & Gorenflo, Rudolf & Mainardi, Francesco
• Fractional calculus and continuous-time finance II: the waiting-time distribution
  by Mainardi, Francesco & Raberto, Marco & Gorenflo, Rudolf & Scalas, Enrico
• Power laws from randomly sampled continuous-time random walks
  by Mosetti, Giancarlo & Jug, Giancarlo & Scalas, Enrico
• Accuracy and robustness of clustering algorithms for small-size applications in bioinformatics
  by Minicozzi, Pamela & Rapallo, Fabio & Scalas, Enrico & Dondero, Francesco
• A random telegraph signal of Mittag-Leffler type
  by Ferraro, Simone & Manzini, Michele & Masoero, Aldo & Scalas, Enrico
• Analysis of price fluctuations in futures exchange markets
  by Lim, Gyuchang & Kim, SooYong & Scalas, Enrico & Kim, Kyungsik & Chang, Ki-Ho
• Activity spectrum from waiting-time distribution
  by Politi, Mauro & Scalas, Enrico
• The application of continuous-time random walks in finance and economics
  by Scalas, Enrico
• Analysis of short term price trends in daily stock-market index data
  by H. F. Coronel-Brizio & A. R. Hern\'andez Montoya & H. R. Olivares S.\'anchez & E. Scalas
• Waiting times between orders and trades in double-auction markets
  by Scalas, Enrico & Kaizoji, Taisei & Kirchler, Michael & Huber, Jürgen & Tedeschi, Alessandra
• The distribution of first-passage times and durations in FOREX and future markets
  by Sazuka, Naoya & Inoue, Jun-ichi & Scalas, Enrico
• Coupled continuous time random walks in finance
  by Meerschaert, Mark M. & Scalas, Enrico
• Dynamical behaviors of inter-out-of-equilibrium state intervals in Korean futures exchange markets
  by Lim, Gyuchang & Kim, SooYong & Kim, Kyungsik & Lee, Dong-In & Scalas, Enrico
• Dynamic scaling of a reaction-limited decay process
  by Reverberi, A. P. & Scalas, E.
• Scaling in the market of futures
  by Scalas, Enrico
• Modeling non-stationarities in high-frequency financial time series
  by Linda Ponta & Mailan Trinh & Marco Raberto & Enrico Scalas & Silvano Cincotti
• Ergodic transition in a simple model of the continuous double auction
  by Tijana Radivojevi\'c & Jonatha Anselmi & Enrico Scalas
• Correlations in the bond-future market
  by Cuniberti, Gianaurelio & Raberto, Marco & Scalas, Enrico
• Volatility in the Italian stock market: an empirical study
  by Raberto, Marco & Scalas, Enrico & Cuniberti, Gianaurelio & Riani, Massimo
• Morphologies in two-dimensional growth with attractive long-range interactions
  by Indiveri, G. & Scalas, E. & Levi, A. C. & Gliozzi, A.
• A functional limit theorem for stochastic integrals driven by a time-changed symmetric α-stable Lévy process
  by Scalas, Enrico & Viles, Noèlia
• A spectral perspective on excess volatility
  by Giacomo Livan & Simone Alfarano & Mishael Milakovic & Enrico Scalas
• From Renewal Theory to High-Frequency Finance
  by Politi, Mauro & Scalas, Enrico
• The fractional non-homogeneous Poisson process
  by Leonenko, Nikolai & Scalas, Enrico & Trinh, Mailan
• Continuous-time statistics and generalized relaxation equations
  by Enrico Scalas
• EDITORIAL: COMPLEX NETWORKS
  by ENRICO SCALAS & FRANK SCHWEITZER
• Performance of information criteria used for model selection of Hawkes process models of financial data
  by J. M. Chen & A. G. Hawkes & E. Scalas & M. Trinh
• DYNAMICS OF AVALANCHE ACTIVITIES IN FINANCIAL MARKETS
  by CHEOL-HYUN KIM & C. H. PARK & SOO YONG KIM & KYUNGSIK KIM & ENRICO SCALAS
• Low-traffic limit and first-passage times for a simple model of the continuous double auction
  by Scalas, Enrico & Rapallo, Fabio & Radivojević, Tijana
• A spectral perspective on excess volatility
  by Livan, Giacomo & Alfarano, Simone & Milakovic, Mishael & Scalas, Enrico
• Editors’ foreword
  by Maggie Chen & Alan Hawkes & Khaldoun Khashanah & David McMillan & Mathieu Rosenbaum & Enrico Scalas & Steve Yang
• Large scale simulation of synthetic markets
  by Gerardo-Giorda, Luca & Germano, Guido & Scalas, Enrico
• Low-traffic limit and first-passage times for a simple model of the continuous double auction
  by Enrico Scalas & Fabio Rapallo & Tijana Radivojevi\'c
• Growth and allocation of resources in economics: The agent-based approach
  by Eric Guerci & Enrico Scalas & Mauro Gallegati & David Mas & Alessandra Tedeschi
• Performance of information criteria for selection of Hawkes process models of financial data
  by J. Chen & A. G. Hawkes & E. Scalas & M. Trinh
• A stylized model for wealth distribution
  by Bertram D.\"uring & Nicos Georgiou & Enrico Scalas
• A spectral perspective on excess volatility
  by Giacomo Livan & Simone Alfarano & Mishael Milakovi & cacute; & Enrico Scalas
• Wealth distribution and the Lorenz curve: a finitary approach
  by Enrico Scalas & Tijana Radivojević & Ubaldo Garibaldi
• Finitary Probabilistic Methods in Econophysics
  by Garibaldi, Ubaldo & Scalas, Enrico
• Fat tails in financial return distributions revisited: Evidence from the Korean stock market
  by Eom, Cheoljun & Kaizoji, Taisei & Scalas, Enrico
• Modeling non-stationarities in high-frequency financial time series
  by Ponta, Linda & Trinh, Mailan & Raberto, Marco & Scalas, Enrico & Cincotti, Silvano
• Semi-Markov Graph Dynamics
  by Marco Raberto & Fabio Rapallo & Enrico Scalas
• Continuum and thermodynamic limits for a simple random-exchange model
  by Bertram D.\"uring & Nicos Georgiou & Sara Merino-Aceituno & Enrico Scalas
• Ergodic Transition in a Simple Model of the Continuous Double Auction
  by Tijana Radivojević & Jonatha Anselmi & Enrico Scalas
• Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market
  by Cheoljun Eom & Taisei Kaizoji & Enrico Scalas
• Mixtures of compound Poisson processes as models of tick-by-tick financial data
  by Scalas, Enrico

editor of:

• Advanced Studies of Financial Technologies and Cryptocurrency Markets
  edited by Lukáš Pichl & Cheoljun Eom & Enrico Scalas & Taisei Kaizoji