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Details about Enrico Scalas

E-mail:
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

Access statistics for papers by Enrico Scalas.

Last updated 2020-08-18. Update your information in the RePEc Author Service.

Short-id: psc89


Jump to Journal Articles Books Edited books

Working Papers

2020

  1. Continuum and thermodynamic limits for a simple random-exchange model
    Papers, arXiv.org Downloads

2019

  1. Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2019)

2017

  1. Modeling non-stationarities in high-frequency financial time series
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2019)
  2. Performance of information criteria used for model selection of Hawkes process models of financial data
    Papers, arXiv.org Downloads

2016

  1. A stylized model for wealth distribution
    Papers, arXiv.org Downloads
  2. Low-traffic limit and first-passage times for a simple model of the continuous double auction
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2017)

2015

  1. Large scale simulation of synthetic markets
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads

2014

  1. A spectral perspective on excess volatility
    FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents Downloads
    Also in Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain) (2014) Downloads View citations (1)

    See also Journal Article in Applied Economics Letters (2015)

2013

  1. Ergodic transition in a simple model of the continuous double auction
    Papers, arXiv.org Downloads
    See also Journal Article in PLOS ONE (2014)

2012

  1. A parsimonious model for intraday European option pricing
    Papers, arXiv.org Downloads
    Also in Economics Discussion Papers, Kiel Institute for the World Economy (IfW) (2012) Downloads
  2. Analysis of short term price trends in daily stock-market index data
    Papers, arXiv.org Downloads
  3. On the non-stationarity of financial time series: impact on optimal portfolio selection
    Papers, arXiv.org Downloads View citations (13)

2011

  1. A class of CTRWs: Compound fractional Poisson processes
    Papers, arXiv.org Downloads View citations (2)
  2. Full characterization of the fractional Poisson process
    Papers, arXiv.org Downloads View citations (7)
  3. The fine structure of spectral properties for random correlation matrices: an application to financial markets
    Papers, arXiv.org Downloads View citations (17)
    Also in MPRA Paper, University Library of Munich, Germany (2011) Downloads View citations (10)

2010

  1. On-line trading as a renewal process: Waiting time and inspection paradox
    Papers, arXiv.org Downloads View citations (2)

2009

  1. Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation
    Papers, arXiv.org Downloads
  2. Stochastic calculus for uncoupled continuous-time random walks
    Papers, arXiv.org Downloads View citations (7)
  3. The Kuznets Curve and the Inequality Process
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)

2008

  1. A Note on Aoki-Yoshikawa Model
    Economics Discussion Papers, Kiel Institute for the World Economy (IfW) Downloads
  2. Activity spectrum from waiting-time distribution
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2007)
  3. Stochastic integration for uncoupled continuous-time random walks
    MPRA Paper, University Library of Munich, Germany Downloads
  4. The distribution of first-passage times and durations in FOREX and future markets
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2009)

2007

  1. The value of information in a multi-agent market model
    Papers, arXiv.org Downloads View citations (4)
    Also in MPRA Paper, University Library of Munich, Germany (2006) Downloads

    See also Journal Article in The European Physical Journal B: Condensed Matter and Complex Systems (2007)
  2. The value of information in financial markets: An agent-based simulation
    Papers, arXiv.org Downloads View citations (2)

2006

  1. Coupled continuous time random walks in finance
    Papers, arXiv.org Downloads View citations (16)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2006)
  2. Growth and Allocation of Resources in Economics: The Agent-Based Approach
    Papers, arXiv.org Downloads View citations (3)
    Also in Post-Print, HAL (2006) View citations (1)

    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2006)
  3. Mixtures of compound Poisson processes as models of tick-by-tick financial data
    Papers, arXiv.org Downloads View citations (3)
    See also Journal Article in Chaos, Solitons & Fractals (2007)
  4. The art of fitting financial time series with Levy stable distributions
    Papers, arXiv.org Downloads View citations (3)
    Also in MPRA Paper, University Library of Munich, Germany (2006) Downloads View citations (2)
  5. Waiting times between orders and trades in double-auction markets
    Papers, arXiv.org Downloads View citations (21)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2006)

2005

  1. Anomalous waiting times in high-frequency financial data
    Papers, arXiv.org Downloads View citations (2)
    Also in Papers, arXiv.org (2003) Downloads View citations (3)

    See also Journal Article in Quantitative Finance (2004)
  2. Basel II for Physicists: A Discussion Paper
    Papers, arXiv.org Downloads View citations (1)
  3. Five Years of Continuous-time Random Walks in Econophysics
    Finance, University Library of Munich, Germany Downloads View citations (1)
    Also in Papers, arXiv.org (2005) Downloads View citations (3)

2004

  1. A double-auction artificial market with time-irregularly spaced orders
    Computing in Economics and Finance 2004, Society for Computational Economics
  2. Correlations in the Bond–Future Market
    Finance, University Library of Munich, Germany Downloads
    Also in Papers, arXiv.org (1999) Downloads

    See also Journal Article in Physica A: Statistical Mechanics and its Applications (1999)
  3. Fractional calculus and continuous-time finance
    Finance, University Library of Munich, Germany Downloads View citations (14)
    Also in Papers, arXiv.org (2000) Downloads View citations (78)

    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2000)
  4. Fractional calculus and continuous-time finance II: the waiting- time distribution
    Finance, University Library of Munich, Germany Downloads View citations (7)
    Also in Papers, arXiv.org (2000) Downloads View citations (101)

    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2000)
  5. On pricing of interest rate derivatives
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2004)
  6. Speculative option valuation: A supercomputing approach
    Computing in Economics and Finance 2004, Society for Computational Economics
  7. Volatility in the Italian Stock Market: An Empirical Study
    Finance, University Library of Munich, Germany Downloads
    Also in Papers, arXiv.org (1999) Downloads View citations (5)

    See also Journal Article in Physica A: Statistical Mechanics and its Applications (1999)
  8. Waiting-times and returns in high-frequency financial data: an empirical study
    Finance, University Library of Munich, Germany Downloads View citations (4)
    Also in Papers, arXiv.org (2002) Downloads View citations (47)

    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2002)

2000

  1. Learning short-option valuation in the presence of rare events
    Papers, arXiv.org Downloads View citations (1)
  2. The waiting-time distribution of LIFFE bond futures
    Papers, arXiv.org Downloads View citations (1)

Journal Articles

2019

  1. Fat tails in financial return distributions revisited: Evidence from the Korean stock market
    Physica A: Statistical Mechanics and its Applications, 2019, 526, (C) Downloads View citations (1)
    See also Working Paper (2019)
  2. Modeling non-stationarities in high-frequency financial time series
    Physica A: Statistical Mechanics and its Applications, 2019, 521, (C), 173-196 Downloads View citations (1)
    See also Working Paper (2017)

2018

  1. Editors’ foreword
    Quantitative Finance, 2018, 18, (2), 191-192 Downloads
  2. Performance of information criteria for selection of Hawkes process models of financial data
    Quantitative Finance, 2018, 18, (2), 225-235 Downloads View citations (1)

2017

  1. Continuous-time statistics and generalized relaxation equations
    The European Physical Journal B: Condensed Matter and Complex Systems, 2017, 90, (11), 1-5 Downloads
  2. Low-traffic limit and first-passage times for a simple model of the continuous double auction
    Physica A: Statistical Mechanics and its Applications, 2017, 485, (C), 61-72 Downloads View citations (1)
    See also Working Paper (2016)
  3. The fractional non-homogeneous Poisson process
    Statistics & Probability Letters, 2017, 120, (C), 147-156 Downloads View citations (1)

2015

  1. A spectral perspective on excess volatility
    Applied Economics Letters, 2015, 22, (9), 745-750 Downloads View citations (1)
    See also Working Paper (2014)
  2. Wealth distribution and the Lorenz curve: a finitary approach
    Journal of Economic Interaction and Coordination, 2015, 10, (1), 79-89 Downloads

2014

  1. A functional limit theorem for stochastic integrals driven by a time-changed symmetric α-stable Lévy process
    Stochastic Processes and their Applications, 2014, 124, (1), 385-410 Downloads View citations (3)
  2. Ergodic Transition in a Simple Model of the Continuous Double Auction
    PLOS ONE, 2014, 9, (2), 1-5 Downloads
    See also Working Paper (2013)

2011

  1. Semi-Markov Graph Dynamics
    PLOS ONE, 2011, 6, (8), 1-13 Downloads

2010

  1. Spectral densities of Wishart-Lévy free stable random matrices
    The European Physical Journal B: Condensed Matter and Complex Systems, 2010, 73, (1), 13-22 Downloads

2009

  1. A Dynamic Probabilistic Version of the Aoki-Yoshikawa Sectoral Productivity Model
    Economics - The Open-Access, Open-Assessment E-Journal, 2009, 3, 1-10 Downloads View citations (6)
  2. A random telegraph signal of Mittag-Leffler type
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (19), 3991-3999 Downloads
  3. EDITORIAL: COMPLEX NETWORKS
    Advances in Complex Systems (ACS), 2009, 12, (01), 1-2 Downloads
  4. From Renewal Theory to High-Frequency Finance
    European Journal of Economic and Social Systems, 2009, 22, (1), 83-98 Downloads
  5. The distribution of first-passage times and durations in FOREX and future markets
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (14), 2839-2853 Downloads View citations (4)
    See also Working Paper (2008)

2008

  1. Accuracy and robustness of clustering algorithms for small-size applications in bioinformatics
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (25), 6310-6318 Downloads View citations (1)
  2. Analysis of price fluctuations in futures exchange markets
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (12), 2823-2830 Downloads View citations (1)
  3. Dynamical behaviors of inter-out-of-equilibrium state intervals in Korean futures exchange markets
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (12), 2831-2836 Downloads
  4. Editorial
    Journal of Economic Interaction and Coordination, 2008, 3, (1), 1-1 Downloads
  5. Fitting the empirical distribution of intertrade durations
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (8), 2025-2034 Downloads View citations (24)
  6. Statistical auditing and randomness test of lotto k/N-type games
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (25), 6385-6390 Downloads

2007

  1. Activity spectrum from waiting-time distribution
    Physica A: Statistical Mechanics and its Applications, 2007, 383, (1), 43-48 Downloads View citations (4)
    See also Working Paper (2008)
  2. DYNAMICS OF AVALANCHE ACTIVITIES IN FINANCIAL MARKETS
    International Journal of Modern Physics C (IJMPC), 2007, 18, (01), 119-127 Downloads
  3. Mixtures of compound Poisson processes as models of tick-by-tick financial data
    Chaos, Solitons & Fractals, 2007, 34, (1), 33-40 Downloads
    See also Working Paper (2006)
  4. Power laws from randomly sampled continuous-time random walks
    Physica A: Statistical Mechanics and its Applications, 2007, 375, (1), 233-238 Downloads View citations (1)
  5. Statistical equilibrium in simple exchange games I
    The European Physical Journal B: Condensed Matter and Complex Systems, 2007, 60, (2), 271-272 Downloads View citations (6)
    Also in The European Physical Journal B: Condensed Matter and Complex Systems, 2006, 53, (2), 267-272 (2006) Downloads View citations (10)
  6. Statistical equilibrium in simple exchange games II. The redistribution game
    The European Physical Journal B: Condensed Matter and Complex Systems, 2007, 60, (2), 241-246 Downloads View citations (6)
  7. The value of information in a multi-agent market model
    The European Physical Journal B: Condensed Matter and Complex Systems, 2007, 55, (1), 115-120 Downloads View citations (5)
    See also Working Paper (2007)
  8. Volatilities, traded volumes, and the hypothesis of price increments in derivative securities
    Physica A: Statistical Mechanics and its Applications, 2007, 382, (2), 577-585 Downloads

2006

  1. Aggregation of Heterogeneous Interacting Agents: The Variant Representative Agent Framework
    Journal of Economic Interaction and Coordination, 2006, 1, (1), 5-19 Downloads View citations (16)
  2. Coupled continuous time random walks in finance
    Physica A: Statistical Mechanics and its Applications, 2006, 370, (1), 114-118 Downloads View citations (15)
    See also Working Paper (2006)
  3. Growth and allocation of resources in economics: The agent-based approach
    Physica A: Statistical Mechanics and its Applications, 2006, 370, (1), 86-90 Downloads View citations (4)
    See also Working Paper (2006)
  4. The application of continuous-time random walks in finance and economics
    Physica A: Statistical Mechanics and its Applications, 2006, 362, (2), 225-239 Downloads View citations (36)
  5. Waiting times between orders and trades in double-auction markets
    Physica A: Statistical Mechanics and its Applications, 2006, 366, (C), 463-471 Downloads View citations (20)
    See also Working Paper (2006)

2004

  1. Anomalous waiting times in high-frequency financial data
    Quantitative Finance, 2004, 4, (6), 695-702 Downloads View citations (19)
    See also Working Paper (2005)
  2. On pricing of interest rate derivatives
    Physica A: Statistical Mechanics and its Applications, 2004, 339, (1), 189-196 Downloads View citations (1)
    See also Working Paper (2004)

2002

  1. Waiting-times and returns in high-frequency financial data: an empirical study
    Physica A: Statistical Mechanics and its Applications, 2002, 314, (1), 749-755 Downloads View citations (42)
    See also Working Paper (2004)

2000

  1. Fractional calculus and continuous-time finance
    Physica A: Statistical Mechanics and its Applications, 2000, 284, (1), 376-384 Downloads View citations (81)
    See also Working Paper (2004)
  2. Fractional calculus and continuous-time finance II: the waiting-time distribution
    Physica A: Statistical Mechanics and its Applications, 2000, 287, (3), 468-481 Downloads View citations (91)
    See also Working Paper (2004)

1999

  1. Correlations in the bond-future market
    Physica A: Statistical Mechanics and its Applications, 1999, 269, (1), 90-97 Downloads
    See also Working Paper (2004)
  2. Morphologies in two-dimensional growth with attractive long-range interactions
    Physica A: Statistical Mechanics and its Applications, 1999, 273, (3), 217-230 Downloads
  3. Volatility in the Italian stock market: an empirical study
    Physica A: Statistical Mechanics and its Applications, 1999, 269, (1), 148-155 Downloads View citations (5)
    See also Working Paper (2004)

1998

  1. Dynamic scaling of a reaction-limited decay process
    Physica A: Statistical Mechanics and its Applications, 1998, 254, (3), 348-357 Downloads
  2. Scaling in the market of futures
    Physica A: Statistical Mechanics and its Applications, 1998, 253, (1), 394-402 Downloads View citations (4)

1996

  1. Multi-site correlation functions in two-dimensional lattice gases
    Physica A: Statistical Mechanics and its Applications, 1996, 223, (1), 149-166 Downloads

1994

  1. Temperature and disequilibrium dependence of cluster growth
    Physica A: Statistical Mechanics and its Applications, 1994, 203, (3), 347-358 Downloads

Books

2010

  1. Finitary Probabilistic Methods in Econophysics
    Cambridge Books, Cambridge University Press View citations (37)

Edited books

2020

  1. Advanced Studies of Financial Technologies and Cryptocurrency Markets
    Springer Books, Springer
 
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