Advanced Search
MyIDEAS: Login

Citations for "Waiting-times and returns in high-frequency financial data: an empirical study"

by M. Raberto & E. Scalas & F. Mainardi

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. Raberto, Marco & Cincotti, Silvano, 2005. "Modeling and simulation of a double auction artificial financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 34-45.
  2. 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.
  3. 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.
  4. Masoliver, Jaume & Montero, Miquel & Perello, Josep & Weiss, George H., 2006. "The continuous time random walk formalism in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 61(4), pages 577-598, December.
  5. Guglielmo D'Amico & Filippo Petroni, 2011. "A semi-Markov model with memory for price changes," Papers 1109.4259, arXiv.org, revised Dec 2011.
  6. Bernardo Spagnolo & Davide Valenti, 2008. "Volatility Effects on the Escape Time in Financial Market Models," Papers 0810.1625, arXiv.org.
  7. Ni, Xiao-Hui & Jiang, Zhi-Qiang & Gu, Gao-Feng & Ren, Fei & Chen, Wei & Zhou, Wei-Xing, 2010. "Scaling and memory in the non-Poisson process of limit order cancelation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2751-2761.
  8. Jiang, Zhi-Qiang & Chen, Wei & Zhou, Wei-Xing, 2009. "Detrended fluctuation analysis of intertrade durations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(4), pages 433-440.
  9. Przemyslaw Repetowicz & Peter Richmond, 2004. "Pricing of options on stocks driven by multi-dimensional operator stable Levy processes," Papers math-ph/0412071, arXiv.org, revised Feb 2005.
  10. Straka, P. & Henry, B.I., 2011. "Lagging and leading coupled continuous time random walks, renewal times and their joint limits," Stochastic Processes and their Applications, Elsevier, vol. 121(2), pages 324-336, February.
  11. Guglielmo D'Amico & Filippo Petroni, 2012. "Weighted-indexed semi-Markov models for modeling financial returns," Papers 1205.2551, arXiv.org, revised Jun 2012.
  12. Greenwood, Priscilla E. & Schick, Anton & Wefelmeyer, Wolfgang, 2011. "Estimating the inter-arrival time density of Markov renewal processes under structural assumptions on the transition distribution," Statistics & Probability Letters, Elsevier, vol. 81(2), pages 277-282, February.
  13. Enrico Scalas, 2005. "Five Years of Continuous-time Random Walks in Econophysics," Papers cond-mat/0501261, arXiv.org.
  14. Zhang, Z.Q. & Wei, T., 2013. "An optimal regularization method for space-fractional backward diffusion problem," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 92(C), pages 14-27.
  15. Guglielmo D'Amico & Filippo Petroni, 2013. "Multivariate high-frequency financial data via semi-Markov processes," Papers 1305.0436, arXiv.org.
  16. Enrico Scalas & Mauro Politi, 2012. "A parsimonious model for intraday European option pricing," Papers 1202.4332, arXiv.org.
  17. 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.
  18. Shapoval, A., 2010. "Prediction problem for target events based on the inter-event waiting time," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(22), pages 5145-5154.
  19. Jiang, Zhi-Qiang & Chen, Wei & Zhou, Wei-Xing, 2008. "Scaling in the distribution of intertrade durations of Chinese stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(23), pages 5818-5825.
  20. Schumer, Rina & Baeumer, Boris & Meerschaert, Mark M., 2011. "Extremal behavior of a coupled continuous time random walk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(3), pages 505-511.
  21. Ruan, Yong-Ping & Zhou, Wei-Xing, 2011. "Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(9), pages 1646-1654.
  22. Meerschaert, Mark M. & Scheffler, Hans-Peter, 2008. "Triangular array limits for continuous time random walks," Stochastic Processes and their Applications, Elsevier, vol. 118(9), pages 1606-1633, September.
  23. D’Amico, Guglielmo & Janssen, Jacques & Manca, Raimondo, 2009. "European and American options: The semi-Markov case," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(15), pages 3181-3194.