511 citations · 1.2k across the 12 of their papers we have counts for
8 papers · 1 filter
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…
Waiting-times and returns in high-frequency financial data: an empirical study
M. Raberto, E. Scalas, F. Mainardi
In financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we an…
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…
Fractional calculus and continuous-time finance II: the waiting-time distribution
Francesco Mainardi, Marco Raberto, Rudolf Gorenflo +1
We complement the theory of tick-by-tick dynamics of financial markets based on a Continuous-Time Random Walk (CTRW) model recently proposed by Scalas et al., and we point out its…
Learning short-option valuation in the presence of rare events
M. Raberto, G. Cuniberti, E. Scalas +3
We present a neural-network valuation of financial derivatives in the case of fat-tailed underlying asset returns. A two-layer perceptron is trained on simulated prices taking into…