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.dis-nn1999★ 4 cited
Efficiency in foreign exchange markets
R. Baviera, M. Pasquini, M. Serva +2
A quantitative check of weak efficiency in US dollar/German mark exchange rates is developed using high frequency data. We show the existence of long term return anomalies. We intr…