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Enrico Scalas

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Personal Details

First Name: Enrico
Middle Name:
Last Name: Scalas
Suffix:

RePEc Short-ID: psc89

Email:
Homepage: http://www.mfn.unipmn.it/~scalas
Postal Address: Universita' del Piemonte Orientale, Dipartimento di Scienze e Innovazione Tecnologica, Via T. Michel 11, 15121 Alessandria, Italy
Phone: +39 0131 360170

Affiliation

Works

as in new window

Working papers

  1. Giacomo Livan & Simone Alfarano & Mishael Milakovic & Enrico Scalas, 2014. "A spectral perspective on excess volatility," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain) 2014/13, Economics Department, Universitat Jaume I, Castellón (Spain).
  2. Tijana Radivojevi\'c & Jonatha Anselmi & Enrico Scalas, 2013. "Ergodic transition in a simple model of the continuous double auction," Papers, arXiv.org 1305.2716, arXiv.org.
  3. 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, arXiv.org 1211.3060, arXiv.org.
  4. Giacomo Livan & Jun-ichi Inoue & Enrico Scalas, 2012. "On the non-stationarity of financial time series: impact on optimal portfolio selection," Papers, arXiv.org 1205.0877, arXiv.org, revised Jul 2012.
  5. Enrico Scalas & Mauro Politi, 2012. "A parsimonious model for intraday European option pricing," Papers, arXiv.org 1202.4332, arXiv.org.
  6. Linda Ponta & Enrico Scalas & Marco Raberto & Silvano Cincotti, 2012. "Modeling non-stationarities in high-frequency financial time series," Papers, arXiv.org 1212.0479, arXiv.org, revised Mar 2013.
  7. Mauro Politi & Taisei Kaizoji & Enrico Scalas, 2011. "Full characterization of the fractional Poisson process," Papers, arXiv.org 1104.4234, arXiv.org.
  8. Enrico Scalas, 2011. "A class of CTRWs: Compound fractional Poisson processes," Papers, arXiv.org 1103.0647, arXiv.org.
  9. G. Livan & S. Alfarano & E. Scalas, 2011. "The fine structure of spectral properties for random correlation matrices: an application to financial markets," Papers, arXiv.org 1102.4076, arXiv.org.
  10. Jun-ichi Inoue & Naoya Sazuka & Enrico Scalas, 2010. "On-line trading as a renewal process: Waiting time and inspection paradox," Papers, arXiv.org 1007.3347, arXiv.org.
  11. 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.
  12. 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, arXiv.org 0903.1629, arXiv.org.
  13. Scalas, Enrico & Garibaldi, Ubaldo, 2008. "A Note on Aoki-Yoshikawa Model," Economics Discussion Papers, Kiel Institute for the World Economy 2008-38, Kiel Institute for the World Economy.
  14. Guido Germano & Mauro Politi & Enrico Scalas & Ren\'e L. Schilling, 2008. "Stochastic calculus for uncoupled continuous-time random walks," Papers, arXiv.org 0802.3769, arXiv.org, revised Jan 2009.
  15. Naoya Sazuka & Jun-ichi Inoue & Enrico Scalas, 2008. "The distribution of first-passage times and durations in FOREX and future markets," Papers, arXiv.org 0808.0372, arXiv.org.
  16. 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.
  17. Mauro Politi & Enrico Scalas, 2008. "Activity spectrum from waiting-time distribution," Papers, arXiv.org 0801.3043, arXiv.org.
  18. Bence Toth & Enrico Scalas, 2007. "The value of information in financial markets: An agent-based simulation," Papers, arXiv.org 0712.2687, arXiv.org.
  19. Enrico Scalas, 2006. "Mixtures of compound Poisson processes as models of tick-by-tick financial data," Papers, arXiv.org physics/0608217, arXiv.org.
  20. Mark M. Meerschaert & Enrico Scalas, 2006. "Coupled continuous time random walks in finance," Papers, arXiv.org physics/0608281, arXiv.org.
  21. 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.
  22. Scalas, Enrico & Kim, Kyungsik, 2006. "The art of fitting financial time series with Levy stable distributions," MPRA Paper 336, University Library of Munich, Germany.
  23. Enrico Scalas & Mauro Gallegati & Eric Guerci & David Mas & Alessandra Tedeschi, 2006. "Growth and Allocation of Resources in Economics: The Agent-Based Approach," Papers, arXiv.org physics/0608221, arXiv.org.
  24. Enrico Scalas & Taisei Kaizoji & Michael Kirchler & Juergen Huber & Alessandra Tedeschi, 2006. "Waiting times between orders and trades in double-auction markets," Papers, arXiv.org physics/0608273, arXiv.org.
  25. Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2005. "Anomalous waiting times in high-frequency financial data," Papers, arXiv.org physics/0505210, arXiv.org.
  26. Enrico Scalas, 2005. "Basel II for Physicists: A Discussion Paper," Papers, arXiv.org cond-mat/0501320, arXiv.org.
  27. Enrico Scalas, 2005. "Five Years of Continuous-time Random Walks in Econophysics," Finance, EconWPA 0501005, EconWPA.
  28. Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2004. "Fractional calculus and continuous-time finance II: the waiting- time distribution," Finance, EconWPA 0411008, EconWPA.
  29. Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2004. "Fractional calculus and continuous-time finance," Finance, EconWPA 0411007, EconWPA.
  30. Enrico Scalas & Silvano Cincotti, 2004. "A double-auction artificial market with time-irregularly spaced orders," Computing in Economics and Finance 2004, Society for Computational Economics 225, Society for Computational Economics.
  31. Enrico Scalas & Alessandro Vivoli & Paride Dagna & Guido Germano, 2004. "Speculative option valuation: A supercomputing approach," Computing in Economics and Finance 2004, Society for Computational Economics 269, Society for Computational Economics.
  32. Gianaurelio Cuniberti & Marco Raberto & Enrico Scalas, 2004. "Correlations in the Bond–Future Market," Finance, EconWPA 0411005, EconWPA.
  33. Marco Raberto & Enrico Scalas & Francesco Mainardi, 2004. "Waiting-times and returns in high-frequency financial data: an empirical study," Finance, EconWPA 0411014, EconWPA.
  34. T. Di Matteo & M. Airoldi & E. Scalas, 2004. "On pricing of interest rate derivatives," Papers, arXiv.org cond-mat/0401445, arXiv.org.
  35. Marco Raberto & Enrico Scalas & Gianaurelio Cuniberti & Massimo Riani, 2004. "Volatility in the Italian Stock Market: An Empirical Study," Finance, EconWPA 0411006, EconWPA.
  36. M. Raberto & G. Cuniberti & E. Scalas & M. Riani & F. Mainardi & G. Servizi, 2000. "Learning short-option valuation in the presence of rare events," Papers, arXiv.org cond-mat/0001253, arXiv.org.
  37. Marco Raberto & Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2000. "The waiting-time distribution of LIFFE bond futures," Papers, arXiv.org cond-mat/0012497, arXiv.org.

Articles

  1. 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, Elsevier, vol. 124(1), pages 385-410.
  2. 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, Springer, vol. 73(1), pages 13-22, January.
  3. 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, Elsevier, vol. 388(14), pages 2839-2853.
  4. Scalas, Enrico & Garibaldi, Ubaldo, 2009. "A Dynamic Probabilistic Version of the Aoki-Yoshikawa Sectoral Productivity Model," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, Kiel Institute for the World Economy, vol. 3(15), pages 1-10.
  5. Enrico Scalas & Frank Schweitzer, 2009. "Editorial: Complex Networks," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 1-2.
  6. 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, Elsevier, vol. 388(19), pages 3991-3999.
  7. 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, Elsevier, vol. 387(12), pages 2831-2836.
  8. 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, Elsevier, vol. 387(25), pages 6385-6390.
  9. 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, Elsevier, vol. 387(12), pages 2823-2830.
  10. Politi, Mauro & Scalas, Enrico, 2008. "Fitting the empirical distribution of intertrade durations," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 387(8), pages 2025-2034.
  11. 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, Elsevier, vol. 387(25), pages 6310-6318.
  12. Akira Namatame & Taisei Kaizoji & Enrico Scalas, 2008. "Editorial," Journal of Economic Interaction and Coordination, Springer, Springer, vol. 3(1), pages 1-1, June.
  13. 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, Springer, vol. 60(2), pages 271-272, November.
  14. 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, Springer, vol. 60(2), pages 241-246, November.
  15. 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, Springer, vol. 55(1), pages 115-120, 01.
  16. 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, Elsevier, vol. 382(2), pages 577-585.
  17. Politi, Mauro & Scalas, Enrico, 2007. "Activity spectrum from waiting-time distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 383(1), pages 43-48.
  18. Mosetti, Giancarlo & Jug, Giancarlo & Scalas, Enrico, 2007. "Power laws from randomly sampled continuous-time random walks," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 375(1), pages 233-238.
  19. 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, Springer, vol. 1(1), pages 5-19, May.
  20. Meerschaert, Mark M. & Scalas, Enrico, 2006. "Coupled continuous time random walks in finance," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 370(1), pages 114-118.
  21. Scalas, Enrico, 2006. "The application of continuous-time random walks in finance and economics," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 362(2), pages 225-239.
  22. 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, Elsevier, vol. 366(C), pages 463-471.
  23. 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, Elsevier, vol. 370(1), pages 86-90.
  24. 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, Taylor & Francis Journals, vol. 4(6), pages 695-702.
  25. Di Matteo, T. & Airoldi, M. & Scalas, E., 2004. "On pricing of interest rate derivatives," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 339(1), pages 189-196.
  26. 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, Elsevier, vol. 314(1), pages 749-755.
  27. 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, Elsevier, vol. 287(3), pages 468-481.
  28. Scalas, Enrico & Gorenflo, Rudolf & Mainardi, Francesco, 2000. "Fractional calculus and continuous-time finance," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 284(1), pages 376-384.
  29. 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, Elsevier, vol. 269(1), pages 148-155.
  30. Cuniberti, Gianaurelio & Raberto, Marco & Scalas, Enrico, 1999. "Correlations in the bond-future market," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 269(1), pages 90-97.
  31. 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, Elsevier, vol. 273(3), pages 217-230.
  32. Scalas, Enrico, 1998. "Scaling in the market of futures," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 253(1), pages 394-402.
  33. Reverberi, A.P. & Scalas, E., 1998. "Dynamic scaling of a reaction-limited decay process," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 254(3), pages 348-357.
  34. 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, Elsevier, vol. 223(1), pages 149-166.
  35. 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, Elsevier, vol. 203(3), pages 347-358.

NEP Fields

23 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2006-10-21
  2. NEP-CMP: Computational Economics (1) 2006-10-21
  3. NEP-ECM: Econometrics (3) 2006-10-21 2011-03-05 2012-12-10
  4. NEP-ETS: Econometric Time Series (5) 2004-11-22 2004-11-22 2005-01-16 2006-10-21 2012-12-10. Author is listed
  5. NEP-FMK: Financial Markets (1) 2006-10-21
  6. NEP-LAB: Labour Economics (1) 2009-07-11
  7. NEP-MST: Market Microstructure (2) 2012-02-20 2012-12-10
  8. NEP-ORE: Operations Research (1) 2008-03-01
  9. NEP-RMG: Risk Management (2) 2005-01-16 2006-10-21

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