142 citations · 1.2k across the 53 of their papers we have counts for
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q-fin.ST2009★ 14 cited
Modeling the non-Markovian, non-stationary scaling dynamics of financial markets
Fulvio Baldovin, Dario Bovina, Francesco Camana +1
A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatilit…
cond-mat.stat-mech2009★ 10 cited
Anomalous scaling due to correlations: Limit theorems and self-similar processes
Attilio L. Stella, Fulvio Baldovin
We derive theorems which outline explicit mechanisms by which anomalous scaling for the probability density function of the sum of many correlated random variables asymptotically p…