• A class of CTRWs: Compound fractional poisson processes 

    Scalas, E.Autoridad BCAM (2011-12-31)
    This chapter is an attempt to present a mathematical theory of compound fractional Poisson processes. It begins with the characterization of a well-known Lévy process: The compound Poisson process. The semi-Markov extension ...
  • A stylized model for the continuous double auction 

    Radivojevic, T.; Anselmi, J.; Scalas, E.Autoridad BCAM (2012-12-31)
    A stylized phenomenological model for the continuous double auction is introduced. This model is equivalent to two uncoupled M/M/1 queues. The conditions for statistical equilibrium (ergodicity) are derived. The results ...
  • Emerging properties of financial time series in the "game of Life" 

    Hernández-Montoya, A.R.; Coronel-Brizio, H.F.; Stevens-Ramírez, G.A.; Rodríguez-Achach, M.; Politi, M.; Scalas, E.Autoridad BCAM (2011-12-31)
    We explore the spatial complexity of Conway's "Game of Life," a prototypical cellular automaton by means of a geometrical procedure generating a two-dimensional random walk from a bidimensional lattice with periodical ...
  • Ergodic transition in a simple model of the continuous double auction 

    Radivojevic, T.; Anselmi, J.; Scalas, E.Autoridad BCAM (2014-12-31)
    We study a phenomenological model for the continuous double auction, whose aggregate order process is equivalent to two independent M/M/1 queues. The continuous double auction defines a continuous-time random walk for trade ...
  • Full characterization of the fractional Poisson process 

    Politi, M.; Kaizoji, T.; Scalas, E.Autoridad BCAM (2011-12-31)
    The fractional Poisson process (FPP) is a counting process with independent and identically distributed inter-event times following the Mittag-Leffler distribution. This process is very useful in several fields of applied ...
  • Large-scale simulations of synthetic markets 

    Gerardo-Giorda, L.; Germano, G.; Scalas, E.Autoridad BCAM (2015-10-08)
    High-frequency trading has been experiencing an increase of interest both for practical purposes within nancial institutions and within academic research; recently, the UK Government O ce for Science reviewed the state ...
  • Modeling non-stationarities in high-frequency financial time series 

    Ponta, L.; Trinh, M.; Raberto, M.; Scalas, E.Autoridad BCAM; Cincotti, S. (2019-01)
    We study tick-by-tick financial returns for the FTSE MIB index of the Italian Stock Exchange (Borsa Italiana). We confirm previously detected non-stationarities. Scaling properties reported before for other high-frequency ...
  • Semi-markov graph dynamics 

    Raberto, M.; Rapallo, F.; Scalas, E.Autoridad BCAM (2011-12-31)
    In this paper, we outline a model of graph (or network) dynamics based on two ingredients. The first ingredient is a Markov chain on the space of possible graphs. The second ingredient is a semi-Markov counting process of ...
  • Wealth distribution and the Lorenz curve: a finitary approach 

    Scalas, E.Autoridad BCAM; Radivojevic, T.; Garibaldi, U. (2015-12-31)
    We use three stochastic games for the wealth of economic agents which may be at work in a real economy and we derive their statistical equilibrium distributions. Based on a heuristic argument, we assume that the expected ...

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