202 citations · 401 across the 12 of their papers we have counts for
5 papers · 1 filter
The value of information in a multi-agent market model
Bence Toth, Enrico Scalas, Juergen Huber +1
We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on t…
Coupled continuous time random walks in finance
Mark M. Meerschaert, Enrico Scalas
Continuous time random walks (CTRWs) are used in physics to model anomalous diffusion, by incorporating a random waiting time between particle jumps. In finance, the particle jumps…
Waiting times between orders and trades in double-auction markets
Enrico Scalas, Taisei Kaizoji, Michael Kirchler +2
In this paper, the survival function of waiting times between orders and the corresponding trades in a double-auction market is studied both by means of experiments and of empirica…
The art of fitting financial time series with Levy stable distributions
Enrico Scalas, Kyungsik Kim
This paper illustrates a procedure for fitting financial data with -stable distributions. After using all the available methods to evaluate the distribution parameters, one can…
Growth and Allocation of Resources in Economics: The Agent-Based Approach
Enrico Scalas, Mauro Gallegati, Eric Guerci +2
Some agent-based models for growth and allocation of resources are described. The first class considered consists of conservative models, where the number of agents and the size of…