7 citations · 9 across the 2 of their papers we have counts for
2 papers
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…