87 citations · 266 across the 25 of their papers we have counts for
9 papers · 1 filter
Randentropy: a software to measure inequality in random systems
Guglielmo D'Amico, Stefania Scocchera, Loriano Storchi
The software Randentropy is designed to estimate inequality in a random system where several individuals interact moving among many communities and producing dependent random quant…
A micro-to-macro approach to returns, volumes and waiting times
Guglielmo D'Amico, Filippo Petroni
Fundamental variables in financial market are not only price and return but a very important role is also played by trading volumes. Here we propose a new multivariate model that t…
Indexed Markov Chains for financial data: testing for the number of states of the index process
Guglielmo D'Amico, Ada Lika, Filippo Petroni
A new branch based on Markov processes is developing in the recent literature of financial time series modeling. In this paper, an Indexed Markov Chain has been used to model high…
A new approach to the modeling of financial volumes
Guglielmo D'Amico, Filippo Petroni
In this paper we study the high frequency dynamic of financial volumes of traded stocks by using a semi-Markov approach. More precisely we assume that the intraday logarithmic chan…
Semi-Markov Models in High Frequency Finance: A Review
G. D'Amico, F. Petroni, F. Prattico
In this paper we describe three stochastic models based on a semi-Markov chains approach and its generalizations to study the high frequency price dynamics of traded stocks. The th…
Multivariate high-frequency financial data via semi-Markov processes
Guglielmo D'Amico, Filippo Petroni
In this paper we propose a bivariate generalization of a weighted indexed semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that financial r…
Weighted-indexed semi-Markov models for modeling financial returns
Guglielmo D'Amico, Filippo Petroni
In this paper we propose a new stochastic model based on a generalization of semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that the fina…
A semi-Markov model with memory for price changes
Guglielmo D'Amico, Filippo Petroni
We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday returns are described by…
A semi-Markov model for price returns
Guglielmo D'Amico, Filippo Petroni
We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday return are described by a…