Enrico Scalas
Names
first: | Enrico |
last: | Scalas |
Contact
email: | |
homepage: | http://www.sussex.ac.uk/profiles/330303 |
phone: | +44 1273 876641 |
postal address: | Department of Mathematics University of Sussex BN1 9QH Falmer, Brighton United Kingdom |
Research profile
author of:
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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 -
Five Years of Continuous-time Random Walks in Econophysics
by Enrico Scalas
edited by -
A stylized model for the continuous double auction
by Tijana Radivojević & Jonatha Anselmi & Enrico Scalas
edited by -
Fraudulent Agents in an Artificial Financial Market
by Enrico Scalas & Silvano Cincotti & Christian Dose & Marco Raberto
edited by -
The Waiting-Time Distribution of Trading Activity in a Double Auction Artificial Financial Market
by Silvano Cincotti & Sergio M. Focardi & Linda Ponta & Marco Raberto & Enrico Scalas
edited by
editor of:
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Advanced Studies of Financial Technologies and Cryptocurrency Markets
edited by Lukáš Pichl & Cheoljun Eom & Enrico Scalas & Taisei Kaizoji