7 citations · 12 across the 3 of their papers we have counts for
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q-fin.TR2007★ 2 cited
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…
q-fin.TR2007★ 7 cited
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…
physics.data-an2007★ 3 cited
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…