139 citations · 444 across the 30 of their papers we have counts for
3 papers · 1 filter
How fast does the clock of Finance run? - A time-definition enforcing scale invariance and quantifying overnights
Michele Caraglio, Fulvio Baldovin, Attilio L. Stella
A symmetry-guided definition of time may enhance and simplify the analysis of historical series with recurrent patterns and seasonalities. By enforcing simple-scaling and stationar…
Scaling symmetry, renormalization, and time series modeling
Marco Zamparo, Fulvio Baldovin, Michele Caraglio +1
We present and discuss a stochastic model of financial assets dynamics based on the idea of an inverse renormalization group strategy. With this strategy we construct the multivari…
Aftershock prediction for high-frequency financial markets' dynamics
Fulvio Baldovin, Francesco Camana, Michele Caraglio +2
The occurrence of aftershocks following a major financial crash manifests the critical dynamical response of financial markets. Aftershocks put additional stress on markets, with c…