79 citations · 163 across the 6 of their papers we have counts for
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cond-mat.stat-mech2008★ 79 cited
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…
q-fin.TR2008★ 13 cited
Activity spectrum from waiting-time distribution
Mauro Politi, Enrico Scalas
In high frequency financial data not only returns but also waiting times between trades are random variables. In this work, we analyze the spectra of the waiting-time processes for…