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~person:"Scalas, Enrico"
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Scalas, Enrico
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8
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Physica A: Statistical Mechanics and its Applications
5
Stochastic Processes and their Applications
1
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1
A functional limit theorem for stochastic integrals driven by a time-changed symmetric α-stable Lévy process
Scalas, Enrico
;
Viles, Noèlia
- In:
Stochastic Processes and their Applications
124
(
2014
)
1
,
pp. 385-410
Under proper scaling and distributional assumptions, we prove the convergence in the Skorokhod space endowed with the M1-topology of a sequence of stochastic integrals of a deterministic function driven by a time-changed symmetric α-stable Lévy process. The time change is given by the inverse...
Persistent link: https://www.econbiz.de/10011064891
Saved in:
2
Power laws from randomly sampled
continuous-time
random walks
Mosetti, Giancarlo
;
Jug, Giancarlo
;
Scalas, Enrico
- In:
Physica A: Statistical Mechanics and its Applications
375
(
2007
)
1
,
pp. 233-238
power-law behaviour also follows by random-sampling Lévy flights (as
continuous-time
random walks), having Fourier …
Persistent link: https://www.econbiz.de/10011057839
Saved in:
3
The application of
continuous-time
random walks in finance and economics
Scalas, Enrico
- In:
Physica A: Statistical Mechanics and its Applications
362
(
2006
)
2
,
pp. 225-239
This paper reviews some applications of
continuous
time
random walks (CTRWs) to Finance and Economics. It is divided …
Persistent link: https://www.econbiz.de/10010590919
Saved in:
4
Coupled
continuous
time
random walks in finance
Meerschaert, Mark M.
;
Scalas, Enrico
- In:
Physica A: Statistical Mechanics and its Applications
370
(
2006
)
1
,
pp. 114-118
Continuous
time
random walks (CTRWs) are used in physics to model anomalous diffusion, by incorporating a random …
Persistent link: https://www.econbiz.de/10010874376
Saved in:
5
Waiting-times and returns in high-frequency financial data: an empirical study
Raberto, Marco
;
Scalas, Enrico
;
Mainardi, Francesco
- In:
Physica A: Statistical Mechanics and its Applications
314
(
2002
)
1
,
pp. 749-755
based on a
continuous-time
random walk model. …
Persistent link: https://www.econbiz.de/10010872329
Saved in:
6
Fractional calculus and
continuous-time
finance II: the waiting-time distribution
Mainardi, Francesco
;
Raberto, Marco
;
Gorenflo, Rudolf
; …
- In:
Physica A: Statistical Mechanics and its Applications
287
(
2000
)
3
,
pp. 468-481
We complement the theory of tick-by-tick dynamics of financial markets based on a
continuous-time
random walk (CTRW …
Persistent link: https://www.econbiz.de/10010590960
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