36 citations · 85 across the 13 of their papers we have counts for
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cond-mat.stat-mech1999★ 5 cited
Indeterminacy in foreign exchange market
Michele Pasquini, Maurizio Serva
We discuss price variations distributions in foreign exchange markets, characterizing them both in calendar and business time frameworks. The price dynamics is found to be the resu…
cond-mat.stat-mech1999★ 36 cited
Clustering of volatility as a multiscale phenomenon
Michele Pasquini, Maurizio Serva
The dynamics of prices in financial markets has been studied intensively both experimentally (data analysis) and theoretically (models). Nevertheless, a complete stochastic charact…
cond-mat.stat-mech1998
Multiscale behaviour of volatility autocorrelations in a financial market
Michele Pasquini, Maurizio Serva
We perform a scaling analysis on NYSE daily returns. We show that volatility correlations are power-laws on a time range from one day to one year and, more important, that they exh…