511 citations · 1.2k across the 12 of their papers we have counts for
13 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…
Semi-Markov Graph Dynamics
Marco Raberto, Fabio Rapallo, Enrico Scalas
In this paper, we outline a model of graph (or network) dynamics based on two ingredients. The first ingredient is a Markov chain on the space of possible graphs. The second ingred…
Anomalous waiting times in high-frequency financial data
Enrico Scalas, Rudolf Gorenflo, Hugh Luckock +3
In high-frequency financial data not only returns, but also waiting times between consecutive trades are random variables. Therefore, it is possible to apply continuous-time random…
Anomalous waiting times in high-frequency financial data
Enrico Scalas, Rudolf Gorenflo, Francesco Mainardi +2
In high-frequency financial data not only returns, but also waiting times between consecutive trades are random variables. Therefore, it is possible to apply continuous-time random…
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…
Revisiting the derivation of the fractional diffusion equation
Enrico Scalas, Rudolf Gorenflo, Francesco Mainardi +1
The fractional diffusion equation is derived from the master equation of continuous-time random walks (CTRWs) via a straightforward application of the Gnedenko-Kolmogorov limit the…