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A stylized model for the continuous double auction

Radivojevi´c, Tijana; Anselmi, Jonatha; Scalas, Enrico - In: Managing market complexity : the approach of artificial …, (pp. 115-125). 2012

Persistent link: https://www.econbiz.de/10009580008

Closed queueing networks under congestion : nonbottleneck independence and bottleneck convergence

Anselmi, Jonatha; D'Auria, Bernardo; Walton, Neil - In: Mathematics of operations research 38 (2013) 3, pp. 469-491

Persistent link: https://www.econbiz.de/10009787376

Power-of-d-choices with memory : fluid limit and optimality

Anselmi, Jonatha; Dufour, François - In: Mathematics of operations research 45 (2020) 3, pp. 862-888

Persistent link: https://www.econbiz.de/10012293357

Five years of continuous-time random walks in econophysics

Scalas, Enrico - In: The complex networks of economic interactions : essays …, (pp. 3-16). 2005

Persistent link: https://www.econbiz.de/10003253864

Survival probability of LIFFE bond futures via the Mittag-Leffler function

Mainardi, Francesco; Raberto, Marco; Scalas, Enrico; … - In: Empirical science of financial fluctuations : the …, (pp. [195]-206). 2002

Persistent link: https://www.econbiz.de/10001679487

Fraudulent agents in an artificial financial market

Scalas, Enrico; Cincotti, Silvano; Dose, Christian; … - In: Nonlinear dynamics and heterogeneous interacting agents …, (pp. 317-326). 2005

Persistent link: https://www.econbiz.de/10002775825

A Parsimonious Model for Intraday European Option Pricing

Scalas, Enrico - 2012

A stochastic model for pure-jump diffusion (the compound renewal process) can be used as a zero-order approximation and as a phenomenological description of tick-by-tick price fluctuations. This leads to an exact and explicit general formula for the martingale price of a European call option. A...

Persistent link: https://www.econbiz.de/10013110478

Limitations of portfolio diversification through fat tails of the return Distributions : some empirical evidence

Eom, Cheoljun; Kaizoji, Taisei; Livan, Giacomo; Scalas, … - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012821302

Finitary probabilistic methods in econophysics

Garibaldi, Ubaldo; Scalas, Enrico - 2010 - 1. publ.

Persistent link: https://www.econbiz.de/10008648392

A parsimonious model for intraday European option pricing

Scalas, Enrico; Politi, Mauro - 2012

Persistent link: https://www.econbiz.de/10009489978