78 citations · 177 across the 23 of their papers we have counts for
25 papers
A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction
Paolo Dai Pra, Paolo Pigato
We consider a tick-by-tick model of price formation, in which buy and sell orders are modeled as self-exciting point processes (Hawkes process), similar to the one in [Bacry, Delat…
Long Range Games
Francesca Albertini, Paolo Dai Pra
We consider -player games, in continuous time, finite state space and finite time horizon, on a geometrical structure possessing a macroscopic limit in a suitable sense. This ge…
Long time fluctuations at critical parameter of Hopf's bifurcation
Michele Aleandri, Paolo Dai Pra
A dynamical system that undergoes a supercritical Hopf's bifurcation is perturbed by a multiplicative Brownian motion that scales with a small parameter . The random fluctuation…
Noise-induced oscillations for the mean-field Dissipative Contact Process
Paolo Dai Pra, Elisa Marini
We study a dissipative version of the contact process, with mean-field interaction, which admits a simple epidemiological interpretation. The propagation of chaos and the correspon…
Rhythmic behavior of an Ising Model with dissipation at low temperature
Raphael Cerf, Paolo Dai Pra, Marco Formentin +1
In this paper we consider the Glauber dynamics for the one-dimensional Ising model with dissipation, in a mesoscopic regime obtained by letting inverse temperature and volume go to…
A hierarchical mean field model of interacting spins
Paolo Dai Pra, Marco Formentin, Guglielmo Pelino
We consider a system of hierarchical interacting spins under dynamics of spin-flip type with a ferromagnetic mean field interaction, scaling with the hierarchical distance, coupled…