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The continuous time random walk formalism in financial markets
Masoliver, Jaume; Montero, Miquel; Perelló, Josep; … - In: Journal of economic behavior & organization : JEBO 61 (2006) 4, pp. 577-598
Persistent link: https://www.econbiz.de/10007773423
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Multiple time scales in volatility and leverage correlations: a stochastic volatility model
Perelló, Josep; Masoliver, Jaume; Bouchaud, Jean-Philippe - In: Applied mathematical finance 11 (2004) 1, pp. 27-50
Persistent link: https://www.econbiz.de/10008214798
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The impact of heterogeneous trading rules on the limit order book and order flows
Chiarella, Carl; Iori, Giulia; Perelló, Josep - In: Journal of economic dynamics & control 33 (2009) 3, pp. 525-537
Persistent link: https://www.econbiz.de/10008175480
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The impact of heterogeneous trading rules on the limit order book and order flows
Chiarella, Carl; Iori, Giulia; Perelló, Josep - In: Journal of economic dynamics & control 33 (2009) 3, pp. 525-538
Persistent link: https://www.econbiz.de/10008890128
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Local Vega Index and Variance Reduction Methods
Bermin, Hans-Peter; Kohatsu-Higa, Arturo; Montero, Miquel - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 85-98
Persistent link: https://www.econbiz.de/10008215731