Enrico Scalas
Personal Details
First Name: | Enrico |
Middle Name: | |
Last Name: | Scalas |
Suffix: | |
RePEc Short-ID: | psc89 |
[This author has chosen not to make the email address public] | |
http://www.sussex.ac.uk/profiles/330303 | |
Department of Mathematics University of Sussex BN1 9QH Falmer, Brighton United Kingdom | |
+44 1273 876641 | |
Terminal Degree: | 1974 Department of Economics; University of Minnesota (from RePEc Genealogy) |
Research output
Jump to: Working papers Articles Chapters BooksWorking papers
- Hainaut, Donatien & Chen, Maggie & Scalas, Enrico, 2023. "The rough Hawkes process," LIDAM Discussion Papers ISBA 2023007, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Bertram During & Nicos Georgiou & Sara Merino-Aceituno & Enrico Scalas, 2020.
"Continuum and thermodynamic limits for a simple random-exchange model,"
Papers
2003.00930, arXiv.org.
- Düring, Bertram & Georgiou, Nicos & Merino-Aceituno, Sara & Scalas, Enrico, 2022. "Continuum and thermodynamic limits for a simple random-exchange model," Stochastic Processes and their Applications, Elsevier, vol. 149(C), pages 248-277.
- Cheoljun Eom & Taisei Kaizoji & Enrico Scalas, 2019.
"Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market,"
Papers
1904.02567, arXiv.org.
- Eom, Cheoljun & Kaizoji, Taisei & Scalas, Enrico, 2019. "Fat tails in financial return distributions revisited: Evidence from the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 526(C).
- J. M. Chen & A. G. Hawkes & E. Scalas & M. Trinh, 2017. "Performance of information criteria used for model selection of Hawkes process models of financial data," Papers 1702.06055, arXiv.org, revised Apr 2017.
- Bertram During & Nicos Georgiou & Enrico Scalas, 2016. "A stylized model for wealth distribution," Papers 1609.08978, arXiv.org, revised Jul 2021.
- Enrico Scalas & Fabio Rapallo & Tijana Radivojevi'c, 2016.
"Low-traffic limit and first-passage times for a simple model of the continuous double auction,"
Papers
1603.09666, arXiv.org.
- Scalas, Enrico & Rapallo, Fabio & Radivojević, Tijana, 2017. "Low-traffic limit and first-passage times for a simple model of the continuous double auction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 485(C), pages 61-72.
- Gerardo-Giorda, Luca & Germano, Guido & Scalas, Enrico, 2015. "Large scale simulation of synthetic markets," LSE Research Online Documents on Economics 67563, London School of Economics and Political Science, LSE Library.
- Giacomo Livan & Simone Alfarano & Mishael Milakovic & Enrico Scalas, 2014.
"A spectral perspective on excess volatility,"
Working Papers
2014/13, Economics Department, Universitat Jaume I, Castellón (Spain).
- Giacomo Livan & Simone Alfarano & Mishael Milaković & Enrico Scalas, 2015. "A spectral perspective on excess volatility," Applied Economics Letters, Taylor & Francis Journals, vol. 22(9), pages 745-750, June.
- Livan, Giacomo & Alfarano, Simone & Milakovic, Mishael & Scalas, Enrico, 2014. "A spectral perspective on excess volatility," FinMaP-Working Papers 12, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Tijana Radivojevi'c & Jonatha Anselmi & Enrico Scalas, 2013.
"Ergodic transition in a simple model of the continuous double auction,"
Papers
1305.2716, arXiv.org.
- Tijana Radivojević & Jonatha Anselmi & Enrico Scalas, 2014. "Ergodic Transition in a Simple Model of the Continuous Double Auction," PLOS ONE, Public Library of Science, vol. 9(2), pages 1-5, February.
- H. F. Coronel-Brizio & A. R. Hern'andez Montoya & H. R Olivares S'anchez & E. Scalas, 2012. "Analysis of short term price trends in daily stock-market index data," Papers 1211.3060, arXiv.org.
- Giacomo Livan & Jun-ichi Inoue & Enrico Scalas, 2012. "On the non-stationarity of financial time series: impact on optimal portfolio selection," Papers 1205.0877, arXiv.org, revised Jul 2012.
- Enrico Scalas & Mauro Politi, 2012.
"A parsimonious model for intraday European option pricing,"
Papers
1202.4332, arXiv.org.
- Scalas, Enrico & Politi, Mauro, 2012. "A parsimonious model for intraday European option pricing," Economics Discussion Papers 2012-14, Kiel Institute for the World Economy (IfW Kiel).
- Linda Ponta & Mailan Trinh & Marco Raberto & Enrico Scalas & Silvano Cincotti, 2012.
"Modeling non-stationarities in high-frequency financial time series,"
Papers
1212.0479, arXiv.org, revised Feb 2017.
- Ponta, Linda & Trinh, Mailan & Raberto, Marco & Scalas, Enrico & Cincotti, Silvano, 2019. "Modeling non-stationarities in high-frequency financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 173-196.
- Enrico Scalas, 2011. "A class of CTRWs: Compound fractional Poisson processes," Papers 1103.0647, arXiv.org.
- G. Livan & S. Alfarano & E. Scalas, 2011.
"The fine structure of spectral properties for random correlation matrices: an application to financial markets,"
Papers
1102.4076, arXiv.org.
- Livan, Giacomo & Alfarano, Simone & Scalas, Enrico, 2011. "The fine structure of spectral properties for random correlation matrices: an application to financial markets," MPRA Paper 28964, University Library of Munich, Germany.
- Mauro Politi & Taisei Kaizoji & Enrico Scalas, 2011. "Full characterization of the fractional Poisson process," Papers 1104.4234, arXiv.org.
- Jun-ichi Inoue & Naoya Sazuka & Enrico Scalas, 2010. "On-line trading as a renewal process: Waiting time and inspection paradox," Papers 1007.3347, arXiv.org.
- Angle, John & Nielsen, Francois & Scalas, Enrico, 2009. "The Kuznets Curve and the Inequality Process," MPRA Paper 16058, University Library of Munich, Germany, revised 29 Jun 2009.
- Mauro Politi & Enrico Scalas & Daniel Fulger & Guido Germano, 2009. "Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation," Papers 0903.1629, arXiv.org.
- Scalas, Enrico & Garibaldi, Ubaldo, 2008. "A Note on Aoki-Yoshikawa Model," Economics Discussion Papers 2008-38, Kiel Institute for the World Economy (IfW Kiel).
- Naoya Sazuka & Jun-ichi Inoue & Enrico Scalas, 2008.
"The distribution of first-passage times and durations in FOREX and future markets,"
Papers
0808.0372, arXiv.org.
- Sazuka, Naoya & Inoue, Jun-ichi & Scalas, Enrico, 2009. "The distribution of first-passage times and durations in FOREX and future markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(14), pages 2839-2853.
- Guido Germano & Mauro Politi & Enrico Scalas & Ren'e L. Schilling, 2008. "Stochastic calculus for uncoupled continuous-time random walks," Papers 0802.3769, arXiv.org, revised Jan 2009.
- Scalas, Enrico & Germano, Guido & Politi, Mauro & Schilling, René L., 2008. "Stochastic integration for uncoupled continuous-time random walks," MPRA Paper 7341, University Library of Munich, Germany.
- Mauro Politi & Enrico Scalas, 2008.
"Activity spectrum from waiting-time distribution,"
Papers
0801.3043, arXiv.org.
- Politi, Mauro & Scalas, Enrico, 2007. "Activity spectrum from waiting-time distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 43-48.
- Bence Toth & Enrico Scalas, 2007. "The value of information in financial markets: An agent-based simulation," Papers 0712.2687, arXiv.org.
- Bence Toth & Enrico Scalas & Juergen Huber & Michael Kirchler, 2006.
"The value of information in a multi-agent market model,"
Papers
physics/0610026, arXiv.org, revised Feb 2007.
- B. Tóth & E. Scalas & J. Huber & M. Kirchler, 2007. "The value of information in a multi-agent market model," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 55(1), pages 115-120, January.
- Toth, Bence & Scalas, Enrico & Huber, Juergen & Kirchler, Michael, 2006. "The value of information in a multi-agent market model," MPRA Paper 341, University Library of Munich, Germany.
- Enrico Scalas & Taisei Kaizoji & Michael Kirchler & Juergen Huber & Alessandra Tedeschi, 2006.
"Waiting times between orders and trades in double-auction markets,"
Papers
physics/0608273, arXiv.org.
- Scalas, Enrico & Kaizoji, Taisei & Kirchler, Michael & Huber, Jürgen & Tedeschi, Alessandra, 2006. "Waiting times between orders and trades in double-auction markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 463-471.
- Mark M. Meerschaert & Enrico Scalas, 2006.
"Coupled continuous time random walks in finance,"
Papers
physics/0608281, arXiv.org.
- Meerschaert, Mark M. & Scalas, Enrico, 2006. "Coupled continuous time random walks in finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 114-118.
- Enrico Scalas, 2006.
"Mixtures of compound Poisson processes as models of tick-by-tick financial data,"
Papers
physics/0608217, arXiv.org.
- Scalas, Enrico, 2007. "Mixtures of compound Poisson processes as models of tick-by-tick financial data," Chaos, Solitons & Fractals, Elsevier, vol. 34(1), pages 33-40.
- Enrico Scalas & Kyungsik Kim, 2006.
"The art of fitting financial time series with Levy stable distributions,"
Papers
physics/0608224, arXiv.org.
- Scalas, Enrico & Kim, Kyungsik, 2006. "The art of fitting financial time series with Levy stable distributions," MPRA Paper 336, University Library of Munich, Germany.
- Enrico Scalas & Mauro Gallegati & Eric Guerci & David Mas & Alessandra Tedeschi, 2006.
"Growth and Allocation of Resources in Economics: The Agent-Based Approach,"
Papers
physics/0608221, arXiv.org.
- Scalas, Enrico & Gallegati, Mauro & Guerci, Eric & Mas, David & Tedeschi, Alessandra, 2006. "Growth and allocation of resources in economics: The agent-based approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 86-90.
- Eric Guerci & Enrico Scalas & Mauro Gallegati & David Mas & Alessandra Tedeschi, 2006. "Growth and allocation of resources in economics: The agent-based approach," Post-Print halshs-00871047, HAL.
- Enrico Scalas, 2005.
"Five Years of Continuous-time Random Walks in Econophysics,"
Papers
cond-mat/0501261, arXiv.org.
- Enrico Scalas, 2006. "Five Years of Continuous-time Random Walks in Econophysics," Lecture Notes in Economics and Mathematical Systems, in: Akira Namatame & Taisei Kaizouji & Yuuji Aruka (ed.), The Complex Networks of Economic Interactions, pages 3-16, Springer.
- Enrico Scalas, 2005. "Five Years of Continuous-time Random Walks in Econophysics," Finance 0501005, University Library of Munich, Germany.
- Enrico Scalas, 2005. "Basel II for Physicists: A Discussion Paper," Papers cond-mat/0501320, arXiv.org.
- Enrico Scalas & Silvano Cincotti, 2004. "A double-auction artificial market with time-irregularly spaced orders," Computing in Economics and Finance 2004 225, Society for Computational Economics.
- Enrico Scalas & Alessandro Vivoli & Paride Dagna & Guido Germano, 2004. "Speculative option valuation: A supercomputing approach," Computing in Economics and Finance 2004 269, Society for Computational Economics.
- T. Di Matteo & M. Airoldi & E. Scalas, 2004.
"On pricing of interest rate derivatives,"
Papers
cond-mat/0401445, arXiv.org.
- Di Matteo, T. & Airoldi, M. & Scalas, E., 2004. "On pricing of interest rate derivatives," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 339(1), pages 189-196.
- Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2003.
"Anomalous waiting times in high-frequency financial data,"
Papers
cond-mat/0310305, arXiv.org.
- Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2004. "Anomalous waiting times in high-frequency financial data," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 695-702.
- Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2005. "Anomalous waiting times in high-frequency financial data," Papers physics/0505210, arXiv.org.
- M. Raberto & E. Scalas & F. Mainardi, 2002.
"Waiting-times and returns in high-frequency financial data: an empirical study,"
Papers
cond-mat/0203596, arXiv.org.
- Raberto, Marco & Scalas, Enrico & Mainardi, Francesco, 2002. "Waiting-times and returns in high-frequency financial data: an empirical study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 314(1), pages 749-755.
- Marco Raberto & Enrico Scalas & Francesco Mainardi, 2004. "Waiting-times and returns in high-frequency financial data: an empirical study," Finance 0411014, University Library of Munich, Germany.
- Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2000.
"Fractional calculus and continuous-time finance,"
Papers
cond-mat/0001120, arXiv.org.
- Scalas, Enrico & Gorenflo, Rudolf & Mainardi, Francesco, 2000. "Fractional calculus and continuous-time finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 284(1), pages 376-384.
- Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2004. "Fractional calculus and continuous-time finance," Finance 0411007, University Library of Munich, Germany.
- Marco Raberto & Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2000. "The waiting-time distribution of LIFFE bond futures," Papers cond-mat/0012497, arXiv.org.
- Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2000.
"Fractional calculus and continuous-time finance II: the waiting-time distribution,"
Papers
cond-mat/0006454, arXiv.org, revised Nov 2000.
- Mainardi, Francesco & Raberto, Marco & Gorenflo, Rudolf & Scalas, Enrico, 2000. "Fractional calculus and continuous-time finance II: the waiting-time distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 468-481.
- Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2004. "Fractional calculus and continuous-time finance II: the waiting- time distribution," Finance 0411008, University Library of Munich, Germany.
- M. Raberto & G. Cuniberti & E. Scalas & M. Riani & F. Mainardi & G. Servizi, 2000.
"Learning short-option valuation in the presence of rare events,"
Papers
cond-mat/0001253, arXiv.org.
- M. Raberto & G. Cuniberti & M. Riani & E. Scales & F. Mainardi & G. Servizi, 2000. "Learning Short-Option Valuation In The Presence Of Rare Events," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 563-564.
- Gianaurelio Cuniberti & Marco Raberto & Enrico Scalas, 1999.
"Correlations in the Bond-Future Market,"
Papers
cond-mat/9903220, arXiv.org.
- Cuniberti, Gianaurelio & Raberto, Marco & Scalas, Enrico, 1999. "Correlations in the bond-future market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 269(1), pages 90-97.
- Gianaurelio Cuniberti & Marco Raberto & Enrico Scalas, 2004. "Correlations in the Bond–Future Market," Finance 0411005, University Library of Munich, Germany.
- Marco Raberto & Enrico Scalas & Gianaurelio Cuniberti & Massimo Riani, 1999.
"Volatility in the Italian Stock Market: an Empirical Study,"
Papers
cond-mat/9903221, arXiv.org.
- Raberto, Marco & Scalas, Enrico & Cuniberti, Gianaurelio & Riani, Massimo, 1999. "Volatility in the Italian stock market: an empirical study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 269(1), pages 148-155.
- Marco Raberto & Enrico Scalas & Gianaurelio Cuniberti & Massimo Riani, 2004. "Volatility in the Italian Stock Market: An Empirical Study," Finance 0411006, University Library of Munich, Germany.
Articles
- Habyarimana, Cassien & Aduda, Jane A. & Scalas, Enrico & Chen, Jing & Hawkes, Alan G. & Polito, Federico, 2023. "A fractional Hawkes process II: Further characterization of the process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 615(C).
- Tetyana Kadankova & Nikolai Leonenko & Enrico Scalas, 2023. "Fractional non-homogeneous Poisson and Pólya-Aeppli processes of order k and beyond," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 52(8), pages 2682-2701, April.
- Düring, Bertram & Georgiou, Nicos & Merino-Aceituno, Sara & Scalas, Enrico, 2022.
"Continuum and thermodynamic limits for a simple random-exchange model,"
Stochastic Processes and their Applications, Elsevier, vol. 149(C), pages 248-277.
- Bertram During & Nicos Georgiou & Sara Merino-Aceituno & Enrico Scalas, 2020. "Continuum and thermodynamic limits for a simple random-exchange model," Papers 2003.00930, arXiv.org.
- Eom, Cheoljun & Kaizoji, Taisei & Livan, Giacomo & Scalas, Enrico, 2021. "Limitations of portfolio diversification through fat tails of the return Distributions: Some empirical evidence," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
- Ponta, Linda & Trinh, Mailan & Raberto, Marco & Scalas, Enrico & Cincotti, Silvano, 2019.
"Modeling non-stationarities in high-frequency financial time series,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 173-196.
- Linda Ponta & Mailan Trinh & Marco Raberto & Enrico Scalas & Silvano Cincotti, 2012. "Modeling non-stationarities in high-frequency financial time series," Papers 1212.0479, arXiv.org, revised Feb 2017.
- Eom, Cheoljun & Kaizoji, Taisei & Scalas, Enrico, 2019.
"Fat tails in financial return distributions revisited: Evidence from the Korean stock market,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 526(C).
- Cheoljun Eom & Taisei Kaizoji & Enrico Scalas, 2019. "Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market," Papers 1904.02567, arXiv.org.
- Maggie Chen & Alan Hawkes & Khaldoun Khashanah & David McMillan & Mathieu Rosenbaum & Enrico Scalas & Steve Yang, 2018. "Editors’ foreword," Quantitative Finance, Taylor & Francis Journals, vol. 18(2), pages 191-192, February.
- J. Chen & A. G. Hawkes & E. Scalas & M. Trinh, 2018. "Performance of information criteria for selection of Hawkes process models of financial data," Quantitative Finance, Taylor & Francis Journals, vol. 18(2), pages 225-235, February.
- Enrico Scalas, 2017. "Continuous-time statistics and generalized relaxation equations," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 90(11), pages 1-5, November.
- Leonenko, Nikolai & Scalas, Enrico & Trinh, Mailan, 2017. "The fractional non-homogeneous Poisson process," Statistics & Probability Letters, Elsevier, vol. 120(C), pages 147-156.
- Scalas, Enrico & Rapallo, Fabio & Radivojević, Tijana, 2017.
"Low-traffic limit and first-passage times for a simple model of the continuous double auction,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 485(C), pages 61-72.
- Enrico Scalas & Fabio Rapallo & Tijana Radivojevi'c, 2016. "Low-traffic limit and first-passage times for a simple model of the continuous double auction," Papers 1603.09666, arXiv.org.
- Giacomo Livan & Simone Alfarano & Mishael Milaković & Enrico Scalas, 2015.
"A spectral perspective on excess volatility,"
Applied Economics Letters, Taylor & Francis Journals, vol. 22(9), pages 745-750, June.
- Livan, Giacomo & Alfarano, Simone & Milakovic, Mishael & Scalas, Enrico, 2014. "A spectral perspective on excess volatility," FinMaP-Working Papers 12, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Giacomo Livan & Simone Alfarano & Mishael Milakovic & Enrico Scalas, 2014. "A spectral perspective on excess volatility," Working Papers 2014/13, Economics Department, Universitat Jaume I, Castellón (Spain).
- Enrico Scalas & Tijana Radivojević & Ubaldo Garibaldi, 2015. "Wealth distribution and the Lorenz curve: a finitary approach," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 10(1), pages 79-89, April.
- Tijana Radivojević & Jonatha Anselmi & Enrico Scalas, 2014.
"Ergodic Transition in a Simple Model of the Continuous Double Auction,"
PLOS ONE, Public Library of Science, vol. 9(2), pages 1-5, February.
- Tijana Radivojevi'c & Jonatha Anselmi & Enrico Scalas, 2013. "Ergodic transition in a simple model of the continuous double auction," Papers 1305.2716, arXiv.org.
- Scalas, Enrico & Viles, Noèlia, 2014. "A functional limit theorem for stochastic integrals driven by a time-changed symmetric α-stable Lévy process," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 385-410.
- Marco Raberto & Fabio Rapallo & Enrico Scalas, 2011. "Semi-Markov Graph Dynamics," PLOS ONE, Public Library of Science, vol. 6(8), pages 1-13, August.
- M. Politi & E. Scalas & D. Fulger & G. Germano, 2010. "Spectral densities of Wishart-Lévy free stable random matrices," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 73(1), pages 13-22, January.
- Ferraro, Simone & Manzini, Michele & Masoero, Aldo & Scalas, Enrico, 2009. "A random telegraph signal of Mittag-Leffler type," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(19), pages 3991-3999.
- Enrico Scalas & Frank Schweitzer, 2009. "Editorial: Complex Networks," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 1-2.
- Politi, Mauro & Scalas, Enrico, 2009. "From Renewal Theory to High-Frequency Finance," European Journal of Economic and Social Systems, Lavoisier, vol. 22(1), pages 83-98.
- Sazuka, Naoya & Inoue, Jun-ichi & Scalas, Enrico, 2009.
"The distribution of first-passage times and durations in FOREX and future markets,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(14), pages 2839-2853.
- Naoya Sazuka & Jun-ichi Inoue & Enrico Scalas, 2008. "The distribution of first-passage times and durations in FOREX and future markets," Papers 0808.0372, arXiv.org.
- Scalas, Enrico & Garibaldi, Ubaldo, 2009. "A Dynamic Probabilistic Version of the Aoki-Yoshikawa Sectoral Productivity Model," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 3, pages 1-10.
- Akira Namatame & Taisei Kaizoji & Enrico Scalas, 2008. "Editorial," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 3(1), pages 1-1, June.
- Politi, Mauro & Scalas, Enrico, 2008. "Fitting the empirical distribution of intertrade durations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(8), pages 2025-2034.
- Lim, Gyuchang & Kim, SooYong & Scalas, Enrico & Kim, Kyungsik & Chang, Ki-Ho, 2008. "Analysis of price fluctuations in futures exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 2823-2830.
- Minicozzi, Pamela & Rapallo, Fabio & Scalas, Enrico & Dondero, Francesco, 2008. "Accuracy and robustness of clustering algorithms for small-size applications in bioinformatics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(25), pages 6310-6318.
- Lim, Gyuchang & Kim, SooYong & Kim, Kyungsik & Lee, Dong-In & Scalas, Enrico, 2008. "Dynamical behaviors of inter-out-of-equilibrium state intervals in Korean futures exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 2831-2836.
- Coronel-Brizio, H.F. & Hernández-Montoya, A.R. & Rapallo, F. & Scalas, E., 2008. "Statistical auditing and randomness test of lotto k/N-type games," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(25), pages 6385-6390.
- Lim, Gyuchang & Kim, SooYong & Scalas, Enrico & Kim, Kyungsik, 2007. "Volatilities, traded volumes, and the hypothesis of price increments in derivative securities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(2), pages 577-585.
- Mosetti, Giancarlo & Jug, Giancarlo & Scalas, Enrico, 2007. "Power laws from randomly sampled continuous-time random walks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 375(1), pages 233-238.
- B. Tóth & E. Scalas & J. Huber & M. Kirchler, 2007.
"The value of information in a multi-agent market model,"
The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 55(1), pages 115-120, January.
- Toth, Bence & Scalas, Enrico & Huber, Juergen & Kirchler, Michael, 2006. "The value of information in a multi-agent market model," MPRA Paper 341, University Library of Munich, Germany.
- Bence Toth & Enrico Scalas & Juergen Huber & Michael Kirchler, 2006. "The value of information in a multi-agent market model," Papers physics/0610026, arXiv.org, revised Feb 2007.
- U. Garibaldi & E. Scalas & P. Viarengo, 2007. "Statistical equilibrium in simple exchange games II. The redistribution game," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 60(2), pages 241-246, November.
- Politi, Mauro & Scalas, Enrico, 2007.
"Activity spectrum from waiting-time distribution,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 43-48.
- Mauro Politi & Enrico Scalas, 2008. "Activity spectrum from waiting-time distribution," Papers 0801.3043, arXiv.org.
- Cheol-Hyun Kim & C. H. Park & Soo Yong Kim & Kyungsik Kim & Enrico Scalas, 2007. "Dynamics Of Avalanche Activities In Financial Markets," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 18(01), pages 119-127.
- Scalas, Enrico, 2007.
"Mixtures of compound Poisson processes as models of tick-by-tick financial data,"
Chaos, Solitons & Fractals, Elsevier, vol. 34(1), pages 33-40.
- Enrico Scalas, 2006. "Mixtures of compound Poisson processes as models of tick-by-tick financial data," Papers physics/0608217, arXiv.org.
- E. Scalas & U. Garibaldi & S. Donadio, 2006.
"Statistical equilibrium in simple exchange games I,"
The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 53(2), pages 267-272, September.
- E. Scalas & U. Garibaldi & S. Donadio, 2007. "Statistical equilibrium in simple exchange games I," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 60(2), pages 271-272, November.
- Scalas, Enrico & Gallegati, Mauro & Guerci, Eric & Mas, David & Tedeschi, Alessandra, 2006.
"Growth and allocation of resources in economics: The agent-based approach,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 86-90.
- Eric Guerci & Enrico Scalas & Mauro Gallegati & David Mas & Alessandra Tedeschi, 2006. "Growth and allocation of resources in economics: The agent-based approach," Post-Print halshs-00871047, HAL.
- Enrico Scalas & Mauro Gallegati & Eric Guerci & David Mas & Alessandra Tedeschi, 2006. "Growth and Allocation of Resources in Economics: The Agent-Based Approach," Papers physics/0608221, arXiv.org.
- M. Gallegati & A. Palestrini & D. Gatti & E. Scalas, 2006. "Aggregation of Heterogeneous Interacting Agents: The Variant Representative Agent Framework," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 1(1), pages 5-19, May.
- Scalas, Enrico & Kaizoji, Taisei & Kirchler, Michael & Huber, Jürgen & Tedeschi, Alessandra, 2006.
"Waiting times between orders and trades in double-auction markets,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 463-471.
- Enrico Scalas & Taisei Kaizoji & Michael Kirchler & Juergen Huber & Alessandra Tedeschi, 2006. "Waiting times between orders and trades in double-auction markets," Papers physics/0608273, arXiv.org.
- Meerschaert, Mark M. & Scalas, Enrico, 2006.
"Coupled continuous time random walks in finance,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 114-118.
- Mark M. Meerschaert & Enrico Scalas, 2006. "Coupled continuous time random walks in finance," Papers physics/0608281, arXiv.org.
- Scalas, Enrico, 2006. "The application of continuous-time random walks in finance and economics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 362(2), pages 225-239.
- Di Matteo, T. & Airoldi, M. & Scalas, E., 2004.
"On pricing of interest rate derivatives,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 339(1), pages 189-196.
- T. Di Matteo & M. Airoldi & E. Scalas, 2004. "On pricing of interest rate derivatives," Papers cond-mat/0401445, arXiv.org.
- Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2004.
"Anomalous waiting times in high-frequency financial data,"
Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 695-702.
- Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2005. "Anomalous waiting times in high-frequency financial data," Papers physics/0505210, arXiv.org.
- Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2003. "Anomalous waiting times in high-frequency financial data," Papers cond-mat/0310305, arXiv.org.
- Raberto, Marco & Scalas, Enrico & Mainardi, Francesco, 2002.
"Waiting-times and returns in high-frequency financial data: an empirical study,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 314(1), pages 749-755.
- M. Raberto & E. Scalas & F. Mainardi, 2002. "Waiting-times and returns in high-frequency financial data: an empirical study," Papers cond-mat/0203596, arXiv.org.
- Marco Raberto & Enrico Scalas & Francesco Mainardi, 2004. "Waiting-times and returns in high-frequency financial data: an empirical study," Finance 0411014, University Library of Munich, Germany.
- Scalas, Enrico & Gorenflo, Rudolf & Mainardi, Francesco, 2000.
"Fractional calculus and continuous-time finance,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 284(1), pages 376-384.
- Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2004. "Fractional calculus and continuous-time finance," Finance 0411007, University Library of Munich, Germany.
- Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2000. "Fractional calculus and continuous-time finance," Papers cond-mat/0001120, arXiv.org.
- Mainardi, Francesco & Raberto, Marco & Gorenflo, Rudolf & Scalas, Enrico, 2000.
"Fractional calculus and continuous-time finance II: the waiting-time distribution,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 468-481.
- Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2000. "Fractional calculus and continuous-time finance II: the waiting-time distribution," Papers cond-mat/0006454, arXiv.org, revised Nov 2000.
- Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2004. "Fractional calculus and continuous-time finance II: the waiting- time distribution," Finance 0411008, University Library of Munich, Germany.
- Raberto, Marco & Scalas, Enrico & Cuniberti, Gianaurelio & Riani, Massimo, 1999.
"Volatility in the Italian stock market: an empirical study,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 269(1), pages 148-155.
- Marco Raberto & Enrico Scalas & Gianaurelio Cuniberti & Massimo Riani, 2004. "Volatility in the Italian Stock Market: An Empirical Study," Finance 0411006, University Library of Munich, Germany.
- Marco Raberto & Enrico Scalas & Gianaurelio Cuniberti & Massimo Riani, 1999. "Volatility in the Italian Stock Market: an Empirical Study," Papers cond-mat/9903221, arXiv.org.
- Cuniberti, Gianaurelio & Raberto, Marco & Scalas, Enrico, 1999.
"Correlations in the bond-future market,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 269(1), pages 90-97.
- Gianaurelio Cuniberti & Marco Raberto & Enrico Scalas, 1999. "Correlations in the Bond-Future Market," Papers cond-mat/9903220, arXiv.org.
- Gianaurelio Cuniberti & Marco Raberto & Enrico Scalas, 2004. "Correlations in the Bond–Future Market," Finance 0411005, University Library of Munich, Germany.
- Indiveri, G & Scalas, E & Levi, A.C & Gliozzi, A, 1999. "Morphologies in two-dimensional growth with attractive long-range interactions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 273(3), pages 217-230.
- Reverberi, A.P. & Scalas, E., 1998. "Dynamic scaling of a reaction-limited decay process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 254(3), pages 348-357.
- Scalas, Enrico, 1998. "Scaling in the market of futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 253(1), pages 394-402.
- Danani, A. & Ferrando, R. & Scalas, E. & Torri, M., 1996. "Multi-site correlation functions in two-dimensional lattice gases," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 223(1), pages 149-166.
- Gliozzi, A. & Levi, A.C. & Menessini, M. & Scalas, E., 1994. "Temperature and disequilibrium dependence of cluster growth," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 203(3), pages 347-358.
Chapters
- Tijana Radivojević & Jonatha Anselmi & Enrico Scalas, 2012. "A stylized model for the continuous double auction," Lecture Notes in Economics and Mathematical Systems, in: Andrea Teglio & Simone Alfarano & Eva Camacho-Cuena & Miguel Ginés-Vilar (ed.), Managing Market Complexity, edition 127, chapter 0, pages 115-125, Springer.
- Silvano Cincotti & Sergio M. Focardi & Linda Ponta & Marco Raberto & Enrico Scalas, 2006. "The Waiting-Time Distribution of Trading Activity in a Double Auction Artificial Financial Market," Lecture Notes in Economics and Mathematical Systems, in: Akira Namatame & Taisei Kaizouji & Yuuji Aruka (ed.), The Complex Networks of Economic Interactions, pages 239-247, Springer.
- Enrico Scalas, 2006.
"Five Years of Continuous-time Random Walks in Econophysics,"
Lecture Notes in Economics and Mathematical Systems, in: Akira Namatame & Taisei Kaizouji & Yuuji Aruka (ed.), The Complex Networks of Economic Interactions, pages 3-16,
Springer.
- Enrico Scalas, 2005. "Five Years of Continuous-time Random Walks in Econophysics," Papers cond-mat/0501261, arXiv.org.
- Enrico Scalas, 2005. "Five Years of Continuous-time Random Walks in Econophysics," Finance 0501005, University Library of Munich, Germany.
- Enrico Scalas & Silvano Cincotti & Christian Dose & Marco Raberto, 2005. "Fraudulent Agents in an Artificial Financial Market," Lecture Notes in Economics and Mathematical Systems, in: Thomas Lux & Eleni Samanidou & Stefan Reitz (ed.), Nonlinear Dynamics and Heterogeneous Interacting Agents, pages 317-326, Springer.
Books
- Lukáš Pichl & Cheoljun Eom & Enrico Scalas & Taisei Kaizoji (ed.), 2020. "Advanced Studies of Financial Technologies and Cryptocurrency Markets," Springer Books, Springer, number 978-981-15-4498-9, June.
- Garibaldi,Ubaldo & Scalas,Enrico, 2010. "Finitary Probabilistic Methods in Econophysics," Cambridge Books, Cambridge University Press, number 9780521515597, September.
More information
Research fields, statistics, top rankings, if available.Statistics
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Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 17 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-FIN: Finance (7) 2004-11-22 2004-11-22 2004-11-22 2004-11-22 2004-11-22 2005-01-16 2006-10-21. Author is listed
- NEP-ETS: Econometric Time Series (5) 2004-11-22 2004-11-22 2005-01-16 2006-10-21 2012-12-10. Author is listed
- NEP-ECM: Econometrics (4) 2006-10-21 2011-03-05 2012-12-10 2017-02-26
- NEP-MST: Market Microstructure (3) 2012-02-20 2012-12-10 2017-02-26
- NEP-CMP: Computational Economics (2) 2006-10-21 2016-09-11
- NEP-FMK: Financial Markets (2) 2006-10-21 2019-04-08
- NEP-RMG: Risk Management (2) 2005-01-16 2006-10-21
- NEP-CFN: Corporate Finance (1) 2006-10-21
- NEP-HIS: Business, Economic and Financial History (1) 2016-10-09
- NEP-LAB: Labour Economics (1) 2009-07-11
- NEP-ORE: Operations Research (1) 2008-03-01
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