Details about Filippo Petroni

Access statistics for papers by Filippo Petroni.

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

Short-id: ppe725

Working Papers

2015

1. Observability of Market Daily Volatility
   Papers, arXiv.org View citations (4)
2. Tornadoes and related damage costs: statistical modeling with a semi-Markov approach
   Papers, arXiv.org View citations (1)

2013

3. Multivariate high-frequency financial data via semi-Markov processes
   Papers, arXiv.org View citations (5)
4. Semi-Markov Models in High Frequency Finance: A Review
   Papers, arXiv.org View citations (1)

2012

5. Weighted-indexed semi-Markov models for modeling financial returns
   Papers, arXiv.org View citations (18)

2011

6. A semi-Markov model for price returns
   Papers, arXiv.org
   See also Journal Article A semi-Markov model for price returns, Physica A: Statistical Mechanics and its Applications, Elsevier (2012) View citations (15) (2012)
7. A semi-Markov model with memory for price changes
   Papers, arXiv.org View citations (20)

2007

8. Effectiveness of Measures of Performance During Speculative Bubbles
   Papers, arXiv.org
   See also Journal Article Effectiveness of measures of performance during speculative bubbles, Physica A: Statistical Mechanics and its Applications, Elsevier (2008) View citations (1) (2008)

2004

9. Inverse Statistics in the Foreign Exchange Market
   Papers, arXiv.org View citations (7)
   See also Journal Article Inverse statistics in the foreign exchange market, Physica A: Statistical Mechanics and its Applications, Elsevier (2004) View citations (7) (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 View citations (5)

2014

2. Wind speed and energy forecasting at different time scales: A nonparametric approach
   Physica A: Statistical Mechanics and its Applications, 2014, 406, (C), 59-66 View citations (13)

2013

3. First and second order semi-Markov chains for wind speed modeling
   Physica A: Statistical Mechanics and its Applications, 2013, 392, (5), 1194-1201 View citations (25)
4. Wind speed modeled as an indexed semi‐Markov process
   Environmetrics, 2013, 24, (6), 367-376 View citations (12)

2012

5. A semi-Markov model for price returns
   Physica A: Statistical Mechanics and its Applications, 2012, 391, (20), 4867-4876 View citations (15)
   See also Working Paper A semi-Markov model for price returns, Papers (2011) (2011)

2010

6. Measures of lexical distance between languages
   Physica A: Statistical Mechanics and its Applications, 2010, 389, (11), 2280-2283 View citations (15)

2009

7. Statistical dynamics of religion evolutions
   Physica A: Statistical Mechanics and its Applications, 2009, 388, (20), 4438-4444 View citations (12)

2008

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

2007

10. Generating synthetic time series from Bak–Sneppen co-evolution model mixtures
    Physica A: Statistical Mechanics and its Applications, 2007, 384, (2), 359-367 View citations (2)
11. Tsallis non-extensive statistical mechanics of El Niño southern oscillation index
    Physica A: Statistical Mechanics and its Applications, 2007, 373, (C), 721-736 View citations (5)

2006

12. A Markov model of financial returns
    Physica A: Statistical Mechanics and its Applications, 2006, 363, (2), 393-403 View citations (3)
13. Investment strategies and hidden variables
    The European Physical Journal B: Condensed Matter and Complex Systems, 2006, 51, (4), 601-608

2004

14. Inverse statistics in the foreign exchange market
    Physica A: Statistical Mechanics and its Applications, 2004, 340, (4), 678-684 View citations (7)
    See also Working Paper Inverse Statistics in the Foreign Exchange Market, Papers (2004) View citations (7) (2004)
15. Real prices from spot foreign exchange market
    Physica A: Statistical Mechanics and its Applications, 2004, 344, (1), 194-197 View citations (1)

2003

16. Spot foreign exchange market and time series
    The European Physical Journal B: Condensed Matter and Complex Systems, 2003, 34, (4), 495-500 View citations (5)