79 citations · 163 across the 6 of their papers we have counts for
Showing 2011Show all
2 papers · 1 filter
q-fin.ST2011★ 6 cited
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…
math.PR2011★ 53 cited
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…