79 citations · 163 across the 6 of their papers we have counts for
7 papers
A parsimonious model for intraday European option pricing
Enrico Scalas, Mauro Politi
A stochastic model for pure-jump diffusion (the compound renewal process) can be used as a zero-order approximation and as a phenomenological description of tick-by-tick price fluc…
The near-extreme density of intraday log-returns
Mauro Politi, Nicolas Millot, Anirban Chakraborti
The extreme event statistics plays a very important role in the theory and practice of time series analysis. The reassembly of classical theoretical results is often undermined by…
Full characterization of the fractional Poisson process
Mauro Politi, Taisei Kaizoji, Enrico Scalas
The fractional Poisson process (FPP) is a counting process with independent and identically distributed inter-event times following the Mittag-Leffler distribution. This process is…
Optimizing a basket against the efficient market hypothesis
Frédéric Abergel, Mauro Politi
The possibility that the collective dynamics of a set of stocks could lead to a specific basket violating the efficient market hypothesis is investigated. Precisely, we show that i…
Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation
Mauro Politi, Enrico Scalas, Daniel Fulger +1
Random matrix theory is used to assess the significance of weak correlations and is well established for Gaussian statistics. However, many complex systems, with stock markets as a…
Stochastic calculus for uncoupled continuous-time random walks
Guido Germano, Mauro Politi, Enrico Scalas +1
The continuous-time random walk (CTRW) is a pure-jump stochastic process with several applications in physics, but also in insurance, finance and economics. A definition is given f…