Search Results - "Scalas, Enrico"

The application of continuous-time random walks in finance and economics by Scalas, Enrico

“…This paper reviews some applications of continuous time random walks (CTRWs) to Finance and Economics. It is divided into two parts. The first part deals with…”
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Fat tails in financial return distributions revisited: Evidence from the Korean stock market by Eom, Cheoljun, Kaizoji, Taisei, Scalas, Enrico

“…This study empirically re-examines fat tails in stock return distributions by applying statistical methods to an extensive dataset taken from the Korean stock…”
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An empirical data analysis of “price runs” in daily financial indices: Dynamically assessing market geometric distributional behavior by Olivares-Sánchez, Héctor Raúl, Rodríguez-Martínez, Carlos Manuel, Coronel-Brizio, Héctor Francisco, Scalas, Enrico, Seligman, Thomas Henry, Hernández-Montoya, Alejandro Raúl

“…In financial time series there are time periods in which market indices values or assets prices increase or decrease monotonically. We call those events “price…”
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Limitations of portfolio diversification through fat tails of the return Distributions: Some empirical evidence by Eom, Cheoljun, Kaizoji, Taisei, Livan, Giacomo, Scalas, Enrico

“…•This study investigates the risk property in fat tails of the return distribution.•Fat-tails are not eliminated through portfolio diversification.•Fat-tails…”
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Full characterization of the fractional Poisson process by Politi, Mauro, Kaizoji, Taisei, Scalas, Enrico

“…The fractional Poisson process (FPP) is a counting process with independent and identically distributed inter-event times following the Mittag-Leffler…”
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Ergodic transition in a simple model of the continuous double auction by Radivojević, Tijana, Anselmi, Jonatha, Scalas, Enrico

“…We study a phenomenological model for the continuous double auction, whose aggregate order process is equivalent to two independent M/M/1 queues. The…”
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Mixtures of compound Poisson processes as models of tick-by-tick financial data by Scalas, Enrico

“…A model for the phenomenological description of tick-by-tick share prices in a stock exchange is introduced. It is based on mixtures of compound Poisson…”
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Statistical Analysis and Agent-Based Microstructure Modeling of High-Frequency Financial Trading by Ponta, L., Scalas, E., Raberto, M., Cincotti, S.

“…A simulation of high-frequency market data is performed with the Genoa Artificial Stock Market. Heterogeneous agents trade a risky asset in exchange for cash…”
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The distribution of first-passage times and durations in FOREX and future markets by Sazuka, Naoya, Inoue, Jun-ichi, Scalas, Enrico

“…Possible distributions are discussed for intertrade durations and first-passage processes in financial markets. The view-point of renewal theory is assumed. In…”
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Monte Carlo simulation of uncoupled continuous-time random walks yielding a stochastic solution of the space-time fractional diffusion equation by Fulger, Daniel, Scalas, Enrico, Germano, Guido

“…We present a numerical method for the Monte Carlo simulation of uncoupled continuous-time random walks with a Lévy alpha -stable distribution of jumps in space…”
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Semi-Markov graph dynamics by Raberto, Marco, Rapallo, Fabio, Scalas, Enrico

“…In this paper, we outline a model of graph (or network) dynamics based on two ingredients. The first ingredient is a Markov chain on the space of possible…”
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Continuous-time statistics and generalized relaxation equations by Scalas, Enrico

“…Using two simple examples, the continuous-time random walk as well as a two state Markov chain, the relation between generalized anomalous relaxation equations…”
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Random exchange models and the distribution of wealth by Scalas, Enrico

“…I am presenting my personal point of view on what is interesting in Econophysics. In particular, I focus on random exchange models for the distribution of…”
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Fine structure of spectral properties for random correlation matrices: an application to financial markets by Livan, Giacomo, Alfarano, Simone, Scalas, Enrico

“…We study some properties of eigenvalue spectra of financial correlation matrices. In particular, we investigate the nature of the large eigenvalue bulks which…”
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A Dynamic Probabilistic Version of the Aoki-Yoshikawa Sectoral Productivity Model by Scalas, Enrico, Garibaldi, Ubaldo

“…In this paper, the authors explore a dynamical version of the Aoki and Yoshikawa model (AYM) for an economy driven by demand. They show that when an…”
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A generalization of the space-fractional Poisson process and its connection to some Lévy processes by Polito, Federico, Scalas, Enrico

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Coupled continuous time random walks in finance by Meerschaert, Mark M., Scalas, Enrico

“…Continuous time random walks (CTRWs) are used in physics to model anomalous diffusion, by incorporating a random waiting time between particle jumps. In…”
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Parameter Estimation for the Fractional Hawkes Process by Habyarimana, Cassien, Aduda, Jane A., Scalas, Enrico

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Fractional non-homogeneous Poisson and Pólya-Aeppli processes of order k and beyond by Kadankova, Tetyana, Leonenko, Nikolai, Scalas, Enrico

“…We introduce two classes of point processes: a fractional non-homogeneous Poisson process of order k and a fractional non-homogeneous Pólya-Aeppli process of…”
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Dialects of Madagascar by Serva, Maurizio, Pasquini, Michele

“…All results in this paper are based upon a new dataset consisting in 60 Swadesh lists of 207 items, overall 12,420 terms collected during 2018-2019. Each list…”
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