170 citations · 811 across the 36 of their papers we have counts for
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cond-mat.stat-mech2003★ 21 cited
Activity autocorrelation in financial markets. A comparative study between several models
Luigi Palatella, Josep Perello, Miquel Montero +1
We study the activity, i.e., the number of transactions per unit time, of financial markets. Using the diffusion entropy technique we show that the autocorrelation of the activity…
cond-mat.stat-mech2003★ 21 cited
The CTRW in finance: Direct and inverse problems with some generalizations and extensions
Jaume Masoliver, Miquel Montero, Josep Perello +1
We study financial distributions within the framework of the continuous time random walk (CTRW). We review earlier approaches and present new results related to overnight effects a…
cond-mat.stat-mech2003★ 4 cited
Partial Derivative Approach for Option Pricing in a Simple Stochastic Volatility Model
Miquel Montero
We study a market model in which the volatility of the stock may jump at a random time from a fixed value to another fixed value. This model was already described in the literature…