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q-fin.TR2008★ 13 cited
Activity spectrum from waiting-time distribution
Mauro Politi, Enrico Scalas
In high frequency financial data not only returns but also waiting times between trades are random variables. In this work, we analyze the spectra of the waiting-time processes for…
q-fin.TR2007★ 9 cited
The value of information in financial markets: An agent-based simulation
Bence Toth, Enrico Scalas
We present results on simulations of a stock market with heterogeneous, cumulative information setup. We find a non-monotonic behaviour of traders' returns as a function of their i…