Details about Enrico Scalas

Access statistics for papers by Enrico Scalas.

Last updated 2009-10-26. Update your information in the RePEc Author Service.

Short-id: psc89

Working Papers

2009

1. Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation
   Quantitative Finance Papers, arXiv.org
2. Stochastic calculus for uncoupled continuous-time random walks
   Quantitative Finance Papers, arXiv.org
3. The Kuznets Curve and the Inequality Process
   MPRA Paper, University Library of Munich, Germany

2008

4. A Note on Aoki-Yoshikawa Model
   Economics Discussion Papers, Kiel Institute for the World Economy
5. Activity spectrum from waiting-time distribution
   Quantitative Finance Papers, arXiv.org
6. Stochastic integration for uncoupled continuous-time random walks
   MPRA Paper, University Library of Munich, Germany
7. The distribution of first-passage times and durations in FOREX and future markets
   Quantitative Finance Papers, arXiv.org

2007

8. The value of information in a multi-agent market model
   Quantitative Finance Papers, arXiv.org
   Also in MPRA Paper, University Library of Munich, Germany (2006)
9. The value of information in financial markets: An agent-based simulation
   Quantitative Finance Papers, arXiv.org

2006

10. Coupled continuous time random walks in finance
    Quantitative Finance Papers, arXiv.org
11. Growth and Allocation of Resources in Economics: The Agent-Based Approach
    Quantitative Finance Papers, arXiv.org View citations
12. Mixtures of compound Poisson processes as models of tick-by-tick financial data
    Quantitative Finance Papers, arXiv.org
13. The art of fitting financial time series with Levy stable distributions
    MPRA Paper, University Library of Munich, Germany
    Also in Quantitative Finance Papers, arXiv.org (2006)
14. Waiting times between orders and trades in double-auction markets
    Quantitative Finance Papers, arXiv.org View citations

2005

15. Anomalous waiting times in high-frequency financial data
    Quantitative Finance Papers, arXiv.org
    Also in Quantitative Finance Papers, arXiv.org (2003)
16. Basel II for Physicists: A Discussion Paper
    Quantitative Finance Papers, arXiv.org
17. Five Years of Continuous-time Random Walks in Econophysics
    Quantitative Finance Papers, arXiv.org
    Also in Finance, EconWPA (2005) View citations

2004

18. A double-auction artificial market with time-irregularly spaced orders
    Computing in Economics and Finance 2004, Society for Computational Economics
19. Correlations in the Bond–Future Market
    Finance, EconWPA
    Also in Quantitative Finance Papers, arXiv.org (1999)
20. Fractional calculus and continuous-time finance
    Finance, EconWPA View citations
    Also in Quantitative Finance Papers, arXiv.org (2000) View citations
21. Fractional calculus and continuous-time finance II: the waiting- time distribution
    Finance, EconWPA View citations
    Also in Quantitative Finance Papers, arXiv.org (2000) View citations
22. On pricing of interest rate derivatives
    Quantitative Finance Papers, arXiv.org
23. Speculative option valuation: A supercomputing approach
    Computing in Economics and Finance 2004, Society for Computational Economics
24. Volatility in the Italian Stock Market: An Empirical Study
    Finance, EconWPA
    Also in Quantitative Finance Papers, arXiv.org (1999)
25. Waiting-times and returns in high-frequency financial data: an empirical study
    Finance, EconWPA View citations
    Also in Quantitative Finance Papers, arXiv.org (2002) View citations

2000

26. Learning short-option valuation in the presence of rare events
    Quantitative Finance Papers, arXiv.org
27. The waiting-time distribution of LIFFE bond futures
    Quantitative Finance Papers, arXiv.org

Journal Articles

2009

1. A Dynamic Probabilistic Version of the Aoki-Yoshikawa Sectoral Productivity Model
   Economics - The Open-Access, Open-Assessment E-Journal, 2009, 3, (15), 1-10
2. EDITORIAL: COMPLEX NETWORKS
   Advances in Complex Systems (ACS), 2009, 12, (01), 1-2

2008

3. Editorial
   Journal of Economic Interaction and Coordination, 2008, 3, (1), 1-1

2006

4. Aggregation of Heterogeneous Interacting Agents: The Variant Representative Agent Framework
   Journal of Economic Interaction and Coordination, 2006, 1, (1), 5-19 View citations