192 citations · 192 across the 3 of their papers we have counts for
3 papers
Modeling non-stationarities in high-frequency financial time series
Linda Ponta, Mailan Trinh, Marco Raberto +2
We study tick-by-tick financial returns belonging to the FTSE MIB index of the Italian Stock Exchange (Borsa Italiana). We can confirm previously detected non-stationarities. Howev…
Fraudulent agents in an artificial financial market
Enrico Scalas, Silvano Cincotti, Christian Dose +1
The problem of insider trading and other illegal practices in financial markets is an important issue in the field of financial regulatory policies. Market control bodies, such as…
Agent-based simulation of a financial market
Marco Raberto, Silvano Cincotti, Sergio M. Focardi +1
This paper introduces an agent-based artificial financial market in which heterogeneous agents trade one single asset through a realistic trading mechanism for price formation. Age…