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Enrico Scalas

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This is information that was supplied by Enrico Scalas in registering through RePEc. If you are Enrico Scalas , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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. Tijana Radivojevi\'c & Jonatha Anselmi & Enrico Scalas, 2013. "Ergodic transition in a simple model of the continuous double auction," Papers 1305.2716, arXiv.org.
  2. 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.
  3. Linda Ponta & Enrico Scalas & Marco Raberto & Silvano Cincotti, 2012. "Modeling non-stationarities in high-frequency financial time series," Papers 1212.0479, arXiv.org, revised Mar 2013.
  4. 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.
  5. Enrico Scalas & Mauro Politi, 2012. "A parsimonious model for intraday European option pricing," Papers 1202.4332, arXiv.org.
  6. Enrico Scalas, 2011. "A class of CTRWs: Compound fractional Poisson processes," Papers 1103.0647, arXiv.org.
  7. Mauro Politi & Taisei Kaizoji & Enrico Scalas, 2011. "Full characterization of the fractional Poisson process," Papers 1104.4234, arXiv.org.
  8. 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.
  9. 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.
  10. 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.
  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, 2008. "Activity spectrum from waiting-time distribution," Papers 0801.3043, arXiv.org.
  13. Scalas, Enrico & Garibaldi, Ubaldo, 2008. "A Note on Aoki-Yoshikawa Model," Economics Discussion Papers 2008-38, Kiel Institute for the World Economy.
  14. 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.
  15. 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.
  16. 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.
  17. Bence Toth & Enrico Scalas, 2007. "The value of information in financial markets: An agent-based simulation," Papers 0712.2687, arXiv.org.
  18. Enrico Scalas, 2006. "Mixtures of compound Poisson processes as models of tick-by-tick financial data," Papers physics/0608217, arXiv.org.
  19. Scalas, Enrico & Kim, Kyungsik, 2006. "The art of fitting financial time series with Levy stable distributions," MPRA Paper 336, University Library of Munich, Germany.
  20. 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.
  21. Mark M. Meerschaert & Enrico Scalas, 2006. "Coupled continuous time random walks in finance," Papers physics/0608281, arXiv.org.
  22. 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.
  23. 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.
  24. Enrico Scalas, 2005. "Five Years of Continuous-time Random Walks in Econophysics," Finance 0501005, EconWPA.
  25. 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.
  26. Enrico Scalas, 2005. "Basel II for Physicists: A Discussion Paper," Papers cond-mat/0501320, arXiv.org.
  27. Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2004. "Fractional calculus and continuous-time finance II: the waiting- time distribution," Finance 0411008, EconWPA.
  28. Marco Raberto & Enrico Scalas & Francesco Mainardi, 2004. "Waiting-times and returns in high-frequency financial data: an empirical study," Finance 0411014, EconWPA.
  29. T. Di Matteo & M. Airoldi & E. Scalas, 2004. "On pricing of interest rate derivatives," Papers cond-mat/0401445, arXiv.org.
  30. Gianaurelio Cuniberti & Marco Raberto & Enrico Scalas, 2004. "Correlations in the Bond–Future Market," Finance 0411005, EconWPA.
  31. 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.
  32. 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.
  33. Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2004. "Fractional calculus and continuous-time finance," Finance 0411007, EconWPA.
  34. Marco Raberto & Enrico Scalas & Gianaurelio Cuniberti & Massimo Riani, 2004. "Volatility in the Italian Stock Market: An Empirical Study," Finance 0411006, EconWPA.
  35. Marco Raberto & Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2000. "The waiting-time distribution of LIFFE bond futures," Papers cond-mat/0012497, arXiv.org.
  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 cond-mat/0001253, 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, 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, vol. 73(1), pages 13-22, January.
  3. 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.
  4. 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.
  5. 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, vol. 3(15), pages 1-10.
  6. 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.
  7. 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.
  8. Akira Namatame & Taisei Kaizoji & Enrico Scalas, 2008. "Editorial," Journal of Economic Interaction and Coordination, Springer, vol. 3(1), pages 1-1, June.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. 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, vol. 60(2), pages 241-246, November.
  17. 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, vol. 55(1), pages 115-120, 01.
  18. 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, vol. 60(2), pages 271-272, November.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. 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, vol. 1(1), pages 5-19, May.
  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, 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, 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, vol. 314(1), pages 749-755.
  27. 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.
  28. 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.
  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, vol. 269(1), pages 148-155.
  30. 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.
  31. 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.
  32. Scalas, Enrico, 1998. "Scaling in the market of futures," Physica A: Statistical Mechanics and its Applications, 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, 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, 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, vol. 203(3), pages 347-358.

NEP Fields

22 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-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
  6. NEP-FMK: Financial Markets (1) 2006-10-21
  7. NEP-LAB: Labour Economics (1) 2009-07-11
  8. NEP-MST: Market Microstructure (2) 2012-02-20 2012-12-10
  9. NEP-ORE: Operations Research (1) 2008-03-01
  10. NEP-RMG: Risk Management (2) 2005-01-16 2006-10-21

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