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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
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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
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A parsimonious model for intraday European option pricing
Scalas, Enrico; Politi, Mauro - 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/10009489978
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The waiting-time distribution of trading activity in a double auction artificial financial market
Cincotti, Silvano; Focardi, Sergio M.; Ponta, Linda; … - In: The complex networks of economic interactions : essays …, (pp. 239-247). 2005
Persistent link: https://www.econbiz.de/10003261456