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Details about Filippo Petroni

E-mail:
Workplace:Dipartimento di Scienze Economiche e Aziendali (Department of Economic and Business), Università degli Studi di Cagliari (University of Cagliari), (more information at EDIRC)

Access statistics for papers by Filippo Petroni.

Last updated 2015-05-04. Update your information in the RePEc Author Service.

Short-id: ppe725


Jump to Journal Articles

Working Papers

2015

  1. Observability of Market Daily Volatility
    Papers, arXiv.org Downloads
  2. Tornadoes and related damage costs: statistical modeling with a semi-Markov approach
    Papers, arXiv.org Downloads

2013

  1. Multivariate high-frequency financial data via semi-Markov processes
    Papers, arXiv.org Downloads View citations (3)
  2. Semi-Markov Models in High Frequency Finance: A Review
    Papers, arXiv.org Downloads

2012

  1. Weighted-indexed semi-Markov models for modeling financial returns
    Papers, arXiv.org Downloads View citations (14)

2011

  1. A semi-Markov model for price returns
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2012)
  2. A semi-Markov model with memory for price changes
    Papers, arXiv.org Downloads View citations (15)

2007

  1. Effectiveness of Measures of Performance During Speculative Bubbles
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2008)

2004

  1. Inverse Statistics in the Foreign Exchange Market
    Papers, arXiv.org Downloads View citations (5)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2004)

Journal Articles

2015

  1. A test for the too-big-to-fail hypothesis for European banks during the financial crisis
    Applied Economics, 2015, 47, (4), 319-332 Downloads View citations (3)

2014

  1. Wind speed and energy forecasting at different time scales: A nonparametric approach
    Physica A: Statistical Mechanics and its Applications, 2014, 406, (C), 59-66 Downloads View citations (9)

2013

  1. First and second order semi-Markov chains for wind speed modeling
    Physica A: Statistical Mechanics and its Applications, 2013, 392, (5), 1194-1201 Downloads View citations (13)
  2. Wind speed modeled as an indexed semi‐Markov process
    Environmetrics, 2013, 24, (6), 367-376 Downloads View citations (8)

2012

  1. A semi-Markov model for price returns
    Physica A: Statistical Mechanics and its Applications, 2012, 391, (20), 4867-4876 Downloads View citations (11)
    See also Working Paper (2011)

2010

  1. Measures of lexical distance between languages
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (11), 2280-2283 Downloads View citations (11)

2009

  1. Statistical dynamics of religion evolutions
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (20), 4438-4444 Downloads View citations (10)

2008

  1. Effectiveness of measures of performance during speculative bubbles
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (15), 3942-3948 Downloads View citations (1)
    See also Working Paper (2007)
  2. High frequency intrinsic modes in El Niño/Southern Oscillation Index
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (21), 5246-5254 Downloads View citations (1)

2007

  1. Generating synthetic time series from Bak–Sneppen co-evolution model mixtures
    Physica A: Statistical Mechanics and its Applications, 2007, 384, (2), 359-367 Downloads View citations (2)
  2. Tsallis non-extensive statistical mechanics of El Niño southern oscillation index
    Physica A: Statistical Mechanics and its Applications, 2007, 373, (C), 721-736 Downloads View citations (1)

2006

  1. A Markov model of financial returns
    Physica A: Statistical Mechanics and its Applications, 2006, 363, (2), 393-403 Downloads View citations (1)
  2. Investment strategies and hidden variables
    The European Physical Journal B: Condensed Matter and Complex Systems, 2006, 51, (4), 601-608 Downloads

2004

  1. Inverse statistics in the foreign exchange market
    Physica A: Statistical Mechanics and its Applications, 2004, 340, (4), 678-684 Downloads View citations (4)
    See also Working Paper (2004)
  2. Real prices from spot foreign exchange market
    Physica A: Statistical Mechanics and its Applications, 2004, 344, (1), 194-197 Downloads View citations (1)

2003

  1. Spot foreign exchange market and time series
    The European Physical Journal B: Condensed Matter and Complex Systems, 2003, 34, (4), 495-500 Downloads View citations (4)
 
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