7 citations · 12 across the 3 of their papers we have counts for
8 papers
Effects of diversification among assets in an agent-based market model
F. Ghoulmié, M. Bartolozzi, C. P. Mellen +1
We extend to the multi-asset case the framework of a discrete time model of a single asset financial market developed in Ghoulmie et al (2005). In particular, we focus on adaptive…
Applications of physical methods in high-frequency futures markets
M. Bartolozzi, C. Mellen, F. Chan +3
In the present work we demonstrate the application of different physical methods to high-frequency or tick-by-tick financial time series data. In particular, we calculate the Hurst…
Scale-free avalanches in the multifractal random walk
M. Bartolozzi
Avalanches, or Avalanche-like, events are often observed in the dynamical behaviour of many complex systems which span from solar flaring to the Earth's crust dynamics and from tra…
Scale-free avalanche dynamics in the stock market
M. Bartolozzi, D. B. Leinweber, A. W. Thomas
Self-organized criticality has been claimed to play an important role in many natural and social systems. In the present work we empirically investigate the relevance of this theor…
Spin glass behavior of the antiferromagnetic Ising model on a scale-free network
M. Bartolozzi, T. Surungan, D. B. Leinweber +1
Antiferromagnetic Ising spins on the scale-free Barabasi-Albert network are studied via the Monte Carlo method. Using the replica exchange algorithm, we calculate the temperature d…
Scale-free networks in complex systems
M. Bartolozzi, D. B. Leinweber, T. Surungan +2
In the past few years, several studies have explored the topology of interactions in different complex systems. Areas of investigation span from biology to engineering, physics and…