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Details about Enrico Scalas

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 2023-09-18. Update your information in the RePEc Author Service.

Short-id: psc89


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Working Papers

2023

  1. The rough Hawkes process
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) Downloads

2021

  1. A stylized model for wealth distribution
    Papers, arXiv.org Downloads

2020

  1. Continuum and thermodynamic limits for a simple random-exchange model
    Papers, arXiv.org Downloads
    See also Journal Article Continuum and thermodynamic limits for a simple random-exchange model, Stochastic Processes and their Applications, Elsevier (2022) Downloads (2022)

2019

  1. Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market
    Papers, arXiv.org Downloads View citations (12)
    See also Journal Article Fat tails in financial return distributions revisited: Evidence from the Korean stock market, Physica A: Statistical Mechanics and its Applications, Elsevier (2019) Downloads View citations (12) (2019)

2017

  1. Modeling non-stationarities in high-frequency financial time series
    Papers, arXiv.org Downloads
    See also Journal Article Modeling non-stationarities in high-frequency financial time series, Physica A: Statistical Mechanics and its Applications, Elsevier (2019) Downloads View citations (7) (2019)
  2. Performance of information criteria used for model selection of Hawkes process models of financial data
    Papers, arXiv.org Downloads

2016

  1. 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 Low-traffic limit and first-passage times for a simple model of the continuous double auction, Physica A: Statistical Mechanics and its Applications, Elsevier (2017) Downloads View citations (1) (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 View citations (2)

2014

  1. A spectral perspective on excess volatility
    Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain) Downloads View citations (2)
    Also in FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2014) Downloads View citations (1)

    See also Journal Article A spectral perspective on excess volatility, Applied Economics Letters, Taylor & Francis Journals (2015) Downloads View citations (1) (2015)

2013

  1. Ergodic transition in a simple model of the continuous double auction
    Papers, arXiv.org Downloads
    See also Journal Article Ergodic Transition in a Simple Model of the Continuous Double Auction, PLOS ONE, Public Library of Science (2014) Downloads View citations (4) (2014)

2012

  1. A parsimonious model for intraday European option pricing
    Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) Downloads
    Also in Papers, arXiv.org (2012) Downloads
  2. Analysis of short term price trends in daily stock-market index data
    Papers, arXiv.org Downloads View citations (2)
  3. On the non-stationarity of financial time series: impact on optimal portfolio selection
    Papers, arXiv.org Downloads View citations (16)

2011

  1. A class of CTRWs: Compound fractional Poisson processes
    Papers, arXiv.org Downloads View citations (3)
  2. Full characterization of the fractional Poisson process
    Papers, arXiv.org Downloads View citations (8)
  3. The fine structure of spectral properties for random correlation matrices: an application to financial markets
    Papers, arXiv.org Downloads View citations (21)
    Also in MPRA Paper, University Library of Munich, Germany (2011) Downloads View citations (16)

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 (8)
  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 Kiel) Downloads
  2. Activity spectrum from waiting-time distribution
    Papers, arXiv.org Downloads
    See also Journal Article Activity spectrum from waiting-time distribution, Physica A: Statistical Mechanics and its Applications, Elsevier (2007) Downloads View citations (4) (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 The distribution of first-passage times and durations in FOREX and future markets, Physica A: Statistical Mechanics and its Applications, Elsevier (2009) Downloads View citations (6) (2009)

2007

  1. The value of information in a multi-agent market model
    Papers, arXiv.org Downloads View citations (9)
    Also in MPRA Paper, University Library of Munich, Germany (2006) Downloads

    See also Journal Article The value of information in a multi-agent market model, The European Physical Journal B: Condensed Matter and Complex Systems, Springer (2007) Downloads View citations (9) (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 (21)
    See also Journal Article Coupled continuous time random walks in finance, Physica A: Statistical Mechanics and its Applications, Elsevier (2006) Downloads View citations (19) (2006)
  2. Growth and Allocation of Resources in Economics: The Agent-Based Approach
    Papers, arXiv.org Downloads View citations (4)
    Also in Post-Print, HAL (2006) View citations (3)

    See also Journal Article Growth and allocation of resources in economics: The agent-based approach, Physica A: Statistical Mechanics and its Applications, Elsevier (2006) Downloads View citations (4) (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 Mixtures of compound Poisson processes as models of tick-by-tick financial data, Chaos, Solitons & Fractals, Elsevier (2007) Downloads View citations (4) (2007)
  4. The art of fitting financial time series with Levy stable distributions
    Papers, arXiv.org Downloads View citations (6)
    Also in MPRA Paper, University Library of Munich, Germany (2006) Downloads View citations (6)
  5. Waiting times between orders and trades in double-auction markets
    Papers, arXiv.org Downloads View citations (25)
    See also Journal Article Waiting times between orders and trades in double-auction markets, Physica A: Statistical Mechanics and its Applications, Elsevier (2006) Downloads View citations (23) (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 Anomalous waiting times in high-frequency financial data, Quantitative Finance, Taylor & Francis Journals (2004) Downloads View citations (20) (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 (2)
    Also in Papers, arXiv.org (2005) Downloads View citations (3)

    See also Chapter Five Years of Continuous-time Random Walks in Econophysics, Lecture Notes in Economics and Mathematical Systems, Springer (2006) View citations (16) (2006)

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 View citations (2)

    See also Journal Article Correlations in the bond-future market, Physica A: Statistical Mechanics and its Applications, Elsevier (1999) Downloads View citations (2) (1999)
  3. Fractional calculus and continuous-time finance
    Finance, University Library of Munich, Germany Downloads View citations (15)
    Also in Papers, arXiv.org (2000) Downloads View citations (137)

    See also Journal Article Fractional calculus and continuous-time finance, Physica A: Statistical Mechanics and its Applications, Elsevier (2000) Downloads View citations (138) (2000)
  4. Fractional calculus and continuous-time finance II: the waiting- time distribution
    Finance, University Library of Munich, Germany Downloads View citations (8)
    Also in Papers, arXiv.org (2000) Downloads View citations (134)

    See also Journal Article Fractional calculus and continuous-time finance II: the waiting-time distribution, Physica A: Statistical Mechanics and its Applications, Elsevier (2000) Downloads View citations (124) (2000)
  5. On pricing of interest rate derivatives
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article On pricing of interest rate derivatives, Physica A: Statistical Mechanics and its Applications, Elsevier (2004) Downloads View citations (2) (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 (6)

    See also Journal Article Volatility in the Italian stock market: an empirical study, Physica A: Statistical Mechanics and its Applications, Elsevier (1999) Downloads View citations (6) (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 (74)

    See also Journal Article Waiting-times and returns in high-frequency financial data: an empirical study, Physica A: Statistical Mechanics and its Applications, Elsevier (2002) Downloads View citations (74) (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

2023

  1. A fractional Hawkes process II: Further characterization of the process
    Physica A: Statistical Mechanics and its Applications, 2023, 615, (C) Downloads View citations (1)
  2. Fractional non-homogeneous Poisson and Pólya-Aeppli processes of order k and beyond
    Communications in Statistics - Theory and Methods, 2023, 52, (8), 2682-2701 Downloads

2022

  1. Continuum and thermodynamic limits for a simple random-exchange model
    Stochastic Processes and their Applications, 2022, 149, (C), 248-277 Downloads
    See also Working Paper Continuum and thermodynamic limits for a simple random-exchange model, Papers (2020) Downloads (2020)

2021

  1. Limitations of portfolio diversification through fat tails of the return Distributions: Some empirical evidence
    The North American Journal of Economics and Finance, 2021, 56, (C) Downloads View citations (3)

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 (12)
    See also Working Paper Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market, Papers (2019) Downloads View citations (12) (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 (7)
    See also Working Paper Modeling non-stationarities in high-frequency financial time series, Papers (2017) Downloads (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 (4)

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 Low-traffic limit and first-passage times for a simple model of the continuous double auction, Papers (2016) Downloads View citations (1) (2016)
  3. The fractional non-homogeneous Poisson process
    Statistics & Probability Letters, 2017, 120, (C), 147-156 Downloads View citations (5)

2015

  1. A spectral perspective on excess volatility
    Applied Economics Letters, 2015, 22, (9), 745-750 Downloads View citations (1)
    See also Working Paper A spectral perspective on excess volatility, Working Papers (2014) Downloads View citations (2) (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 (5)
  2. Ergodic Transition in a Simple Model of the Continuous Double Auction
    PLOS ONE, 2014, 9, (2), 1-5 Downloads View citations (4)
    See also Working Paper Ergodic transition in a simple model of the continuous double auction, Papers (2013) Downloads (2013)

2011

  1. Semi-Markov Graph Dynamics
    PLOS ONE, 2011, 6, (8), 1-13 Downloads View citations (5)

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 (2007-2020), 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 (6)
    See also Working Paper The distribution of first-passage times and durations in FOREX and future markets, Papers (2008) Downloads View citations (2) (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 (28)
  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 Activity spectrum from waiting-time distribution, Papers (2008) Downloads (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 View citations (4)
    See also Working Paper Mixtures of compound Poisson processes as models of tick-by-tick financial data, Papers (2006) Downloads View citations (3) (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 (8)
    Also in The European Physical Journal B: Condensed Matter and Complex Systems, 2006, 53, (2), 267-272 (2006) Downloads View citations (17)
  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 (9)
    See also Working Paper The value of information in a multi-agent market model, Papers (2007) Downloads View citations (9) (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 (18)
  2. Coupled continuous time random walks in finance
    Physica A: Statistical Mechanics and its Applications, 2006, 370, (1), 114-118 Downloads View citations (19)
    See also Working Paper Coupled continuous time random walks in finance, Papers (2006) Downloads View citations (21) (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 Growth and Allocation of Resources in Economics: The Agent-Based Approach, Papers (2006) Downloads View citations (4) (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 (48)
  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 (23)
    See also Working Paper Waiting times between orders and trades in double-auction markets, Papers (2006) Downloads View citations (25) (2006)

2004

  1. Anomalous waiting times in high-frequency financial data
    Quantitative Finance, 2004, 4, (6), 695-702 Downloads View citations (20)
    See also Working Paper Anomalous waiting times in high-frequency financial data, Papers (2005) Downloads View citations (2) (2005)
  2. On pricing of interest rate derivatives
    Physica A: Statistical Mechanics and its Applications, 2004, 339, (1), 189-196 Downloads View citations (2)
    See also Working Paper On pricing of interest rate derivatives, Papers (2004) Downloads View citations (2) (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 (74)
    See also Working Paper Waiting-times and returns in high-frequency financial data: an empirical study, Finance (2004) Downloads View citations (4) (2004)

2000

  1. Fractional calculus and continuous-time finance
    Physica A: Statistical Mechanics and its Applications, 2000, 284, (1), 376-384 Downloads View citations (138)
    See also Working Paper Fractional calculus and continuous-time finance, Finance (2004) Downloads View citations (15) (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 (124)
    See also Working Paper Fractional calculus and continuous-time finance II: the waiting- time distribution, Finance (2004) Downloads View citations (8) (2004)

1999

  1. Correlations in the bond-future market
    Physica A: Statistical Mechanics and its Applications, 1999, 269, (1), 90-97 Downloads View citations (2)
    See also Working Paper Correlations in the Bond–Future Market, Finance (2004) Downloads (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 (6)
    See also Working Paper Volatility in the Italian Stock Market: An Empirical Study, Finance (2004) Downloads (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 (6)

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 (44)

Edited books

2020

  1. Advanced Studies of Financial Technologies and Cryptocurrency Markets
    Springer Books, Springer View citations (2)

Chapters

2012

  1. A stylized model for the continuous double auction
    Springer View citations (3)

2006

  1. Five Years of Continuous-time Random Walks in Econophysics
    Springer View citations (16)
    See also Working Paper Five Years of Continuous-time Random Walks in Econophysics, University Library of Munich, Germany (2005) Downloads View citations (2) (2005)
  2. The Waiting-Time Distribution of Trading Activity in a Double Auction Artificial Financial Market
    Springer View citations (1)

2005

  1. Fraudulent Agents in an Artificial Financial Market
    Springer View citations (3)
 
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