# Rui Vilela Mendes

## Personal Details

First Name: | Rui |

Middle Name: | Vilela |

Last Name: | Mendes |

Suffix: | |

RePEc Short-ID: | pme147 |

http://label2.ist.utl.pt/vilela/ | |

CMAFCIO, Math. Department, C6 Campo Grande, Univ. Lisbon, | |

+351 914739442 |

## Affiliation

### Centro de Matemática e Aplicações Fundamentais, Universidade de Lisboa

http://cmaf.fc.ul.ptPortugal, Lisboa

## Research output

Jump to: Working papers Articles### Working papers

- R. Vilela Mendes & M. J. Oliveira & A. M. Rodrigues, 2012.
"
**The fractional volatility model: No-arbitrage, leverage and completeness**," Papers 1205.2866, arXiv.org. - Samuel Eleutério & Tanya Araújo & R. Vilela Mendes, 2012.
"
**Portfolios and the market geometry**," Working Papers Department of Economics 2012/09, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.- Samuel Eleut'erio & Tanya Ara'ujo & R. Vilela Mendes, 2011.
"
**Portfolios and the market geometry**," Papers 1108.4102, arXiv.org.

- Samuel Eleut'erio & Tanya Ara'ujo & R. Vilela Mendes, 2011.
"
- R. Vilela Mendes & Maria Jo~ao Oliveira, 2010.
"
**The fractional volatility model: No-arbitrage, leverage and risk measures**," Papers 1007.2817, arXiv.org. - Mendes, Rui Vilela & Oliveira, Maria J., 2008.
"
**A Data-Reconstructed Fractional Volatility Model**," Economics Discussion Papers 2008-22, Kiel Institute for the World Economy (IfW).- Rui Vilela Mendes & M. J. Oliveira, 2006.
"
**A data-reconstructed fractional volatility model**," Papers math/0602013, arXiv.org, revised Jun 2007.

- Rui Vilela Mendes & M. J. Oliveira, 2006.
"
- R. Vilela Mendes, 2007.
"
**The fractional volatility model: An agent-based interpretation**," Papers 0706.3827, arXiv.org, revised Aug 2007.- Vilela Mendes, R., 2008.
"
**The fractional volatility model: An agent-based interpretation**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3987-3994.

- Vilela Mendes, R., 2008.
"
- Tanya Araújo & Rui Vilela Mendes, 2007.
"
**Innovation Success and Structural Change: An Abstract Agent Based Study**," Working Papers Department of Economics 2007/25, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.- Tanya Araujo & R. Vilela Mendes, 2007.
"
**Innovation Success and Structural Change: An Abstract Agent Based Study**," Papers 0709.2694, arXiv.org.

- Tanya Araujo & R. Vilela Mendes, 2007.
"
- Tanya Araujo & R. Vilela Mendes, 2006.
"
**Market-oriented innovation: When is it profitable? An abstract agent-based study**," Working Papers Department of Economics 2006/31, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa. - Rui Vilela Mendes & Maria Joao Oliveira, 2004.
"
**Option pricing with fractional volatility**," Papers cond-mat/0404684, arXiv.org. - R. Vilela Mendes & Tanya Ara'ujo & Francisco Louc{c}~a, 2002.
"
**Reconstructing an economic space from a market metric**," Papers cond-mat/0211108, arXiv.org.- Vilela Mendes, R. & Araújo, Tanya & Louçã, Francisco, 2003.
"
**Reconstructing an economic space from a market metric**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 323(C), pages 635-650.

- Vilela Mendes, R. & Araújo, Tanya & Louçã, Francisco, 2003.
"
- Tanya Araújo & R. Vilela Mendes, 2001.
"
**Function and form in networks of interacting agents**," Working Papers Department of Economics 2001/03, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa. - R. Vilela Mendes & R. Lima & T. Araujo, 2001.
"
**A process-reconstruction analysis of market fluctuations**," Papers cond-mat/0102301, arXiv.org. - Rui Vilela Mendes, 1999.
"
**Characterizing self-organization and coevolution by ergodic invariants**," Working Papers Department of Economics 1999/06, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.- Mendes, R.Vilela, 2000.
"
**Characterizing self-organization and coevolution by ergodic invariants**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 276(3), pages 550-571.

- Mendes, R.Vilela, 2000.
"

### Articles

- Vilela Mendes, R. & Oliveira, M.J. & Rodrigues, A.M., 2015.
"
**No-arbitrage, leverage and completeness in a fractional volatility model**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 470-478. - Hugo C. Mendes & Alberto Murta & R. Vilela Mendes, 2015.
"
**Long Range Dependence And The Dynamics Of Exploited Fish Populations**," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 18(07n08), pages 1-14, November. - Tanya Araújo & R. Vilela Mendes, 2009.
"
**Innovation And Self-Organization In A Multi-Agent Model**," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 12(02), pages 233-253. - Vilela Mendes, R., 2008.
"
**The fractional volatility model: An agent-based interpretation**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3987-3994.- R. Vilela Mendes, 2007.
"
**The fractional volatility model: An agent-based interpretation**," Papers 0706.3827, arXiv.org, revised Aug 2007.

- R. Vilela Mendes, 2007.
"
- R. Vilela Mendes, 2004.
"
**Network Dependence Of Strong Reciprocity**," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 7(03n04), pages 357-368. - Vilela Mendes, R. & Araújo, Tanya & Louçã, Francisco, 2003.
"
**Reconstructing an economic space from a market metric**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 323(C), pages 635-650.- R. Vilela Mendes & Tanya Ara'ujo & Francisco Louc{c}~a, 2002.
"
**Reconstructing an economic space from a market metric**," Papers cond-mat/0211108, arXiv.org.

- R. Vilela Mendes & Tanya Ara'ujo & Francisco Louc{c}~a, 2002.
"
- Mendes, R.Vilela, 2001.
"
**Structure-generating mechanisms in agent-based models**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 295(3), pages 537-561. - Mendes, R.Vilela, 2000.
"
**Characterizing self-organization and coevolution by ergodic invariants**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 276(3), pages 550-571.- Rui Vilela Mendes, 1999.
"
**Characterizing self-organization and coevolution by ergodic invariants**," Working Papers Department of Economics 1999/06, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.

- Rui Vilela Mendes, 1999.
"

## Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.### Working papers

- Mendes, Rui Vilela & Oliveira, Maria J., 2008.
"
**A Data-Reconstructed Fractional Volatility Model**," Economics Discussion Papers 2008-22, Kiel Institute for the World Economy (IfW).- Rui Vilela Mendes & M. J. Oliveira, 2006.
"
**A data-reconstructed fractional volatility model**," Papers math/0602013, arXiv.org, revised Jun 2007.

Cited by:

- Archil Gulisashvili, 2017.
"
**Large deviation principle for Volterra type fractional stochastic volatility models**," Papers 1710.10711, arXiv.org, revised Jan 2018. - Li Meng & Mei Wang, 2010.
"
**Comparison of Black–Scholes Formula with Fractional Black–Scholes Formula in the Foreign Exchange Option Market with Changing Volatility**," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, pages 99-111. - Philipp Harms & David Stefanovits, 2015.
"
**Affine representations of fractional processes with applications in mathematical finance**," Papers 1510.04061, arXiv.org, revised Feb 2018. - Vilela Mendes, R. & Oliveira, M.J. & Rodrigues, A.M., 2015.
"
**No-arbitrage, leverage and completeness in a fractional volatility model**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 470-478.

- Rui Vilela Mendes & M. J. Oliveira, 2006.
"
- R. Vilela Mendes, 2007.
"
**The fractional volatility model: An agent-based interpretation**," Papers 0706.3827, arXiv.org, revised Aug 2007.- Vilela Mendes, R., 2008.
"
**The fractional volatility model: An agent-based interpretation**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3987-3994.

Cited by:

- Xiao, Weilin & Zhang, Weiguo & Xu, Weijun & Zhang, Xili, 2012.
"
**The valuation of equity warrants in a fractional Brownian environment**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1742-1752. - Josselin Garnier & Knut Solna, 2015.
"
**Correction to Black-Scholes formula due to fractional stochastic volatility**," Papers 1509.01175, arXiv.org, revised Mar 2017. - Xiao, Wei-Lin & Zhang, Wei-Guo & Zhang, Xili & Zhang, Xiaoli, 2012.
"
**Pricing model for equity warrants in a mixed fractional Brownian environment and its algorithm**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(24), pages 6418-6431. - Guo, Zhidong & Yuan, Hongjun, 2014.
"
**Pricing European option under the time-changed mixed Brownian-fractional Brownian model**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 406(C), pages 73-79. - Vilela Mendes, R. & Oliveira, M.J. & Rodrigues, A.M., 2015.
"
**No-arbitrage, leverage and completeness in a fractional volatility model**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 470-478.

- Vilela Mendes, R., 2008.
"
- Tanya Araújo & Rui Vilela Mendes, 2007.
"
**Innovation Success and Structural Change: An Abstract Agent Based Study**," Working Papers Department of Economics 2007/25, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.- Tanya Araujo & R. Vilela Mendes, 2007.
"
**Innovation Success and Structural Change: An Abstract Agent Based Study**," Papers 0709.2694, arXiv.org.

Cited by:

- Sven Banisch & Tanya Araujo & Jorge Louçã, 2009.
"
**Opinion Dynamics and Communication Networks**," Working Papers Department of Economics 2009/16, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.- Sven Banisch & Tanya Araújo & Jorge Louçã, 2010.
"
**Opinion Dynamics And Communication Networks**," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 95-111.

- Sven Banisch & Tanya Araújo & Jorge Louçã, 2010.
"

- Tanya Araujo & R. Vilela Mendes, 2007.
"
- Tanya Araujo & R. Vilela Mendes, 2006.
"
**Market-oriented innovation: When is it profitable? An abstract agent-based study**," Working Papers Department of Economics 2006/31, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.Cited by:

- João Bernardino & Tanya Araújo, 2010.
"
**On Positional Consumption and Technological Innovation- an Agent-based Approach**," Working Papers Department of Economics 2010/04, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa. - Araújo, Tanya & Weisbuch, Gérard, 2008.
"
**The labour market on the hypercube**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(5), pages 1301-1310.- Tanya Araújo & Gérard Weisbuch, 2007.
"
**The Labour Market on the Hypercube**," Working Papers Department of Economics 2007/24, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.

- Tanya Araújo & Gérard Weisbuch, 2007.
"

- João Bernardino & Tanya Araújo, 2010.
"
- R. Vilela Mendes & Tanya Ara'ujo & Francisco Louc{c}~a, 2002.
"
**Reconstructing an economic space from a market metric**," Papers cond-mat/0211108, arXiv.org.- Vilela Mendes, R. & Araújo, Tanya & Louçã, Francisco, 2003.
"
**Reconstructing an economic space from a market metric**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 323(C), pages 635-650.

Cited by:

- Tanya Araújo & Francisco Louçã, 2008.
"
**Tribes under Threat – The Collective Behavior of Firms During the Stock Market Crisis**," Working Papers Department of Economics 2008/28, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa. - Tanya Araújo & Francisco Louçã, 2008.
"
**Bargaining Clouds, or Mathematics as a Metaphoric Exploration of the Unexpected**," Working Papers Department of Economics 2008/27, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa. - Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017.
"
**A review of two decades of correlations, hierarchies, networks and clustering in financial markets**," Papers 1703.00485, arXiv.org, revised Sep 2017. - Tanya Araujo & João Dias & Samuel Eleutério & Francisco Louçã, 2012.
"
**How Fama Went Wrong: Measures of Multivariate Kurtosis for the Identification of the Dynamics of a N-Dimensional Market**," Working Papers Department of Economics 2012/21, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa. - Araújo, Tanya & Spelta, Alessandro, 2014.
"
**Structural changes in cross-border liabilities: A multidimensional approach**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 277-287.- Tanya Araùjo & Alessandro Spelta, 2013.
"
**Structural changes in cross-border liabilities: a multidimensional approach**," DEM Working Papers Series 050, University of Pavia, Department of Economics and Management.

- Tanya Araùjo & Alessandro Spelta, 2013.
"
- João C. Lopes & Tanya Araújo & João Dias & João F. Amaral, 2010.
"
**National industry cluster templates and the structure of industry output dynamics: a stochastic geometry approach**," Working Papers Department of Economics 2010/20, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa. - Tanya Ara'ujo & Jo~ao Dias & Samuel Eleut'erio & Francisco Louc{c}~a, 2012.
"
**How Fama Went Wrong: Measures of Multivariate Kurtosis for the Identification of the Dynamics of a N-Dimensional Market**," Papers 1207.1202, arXiv.org. - Samuel Eleut'erio & Tanya Ara'ujo & R. Vilela Mendes, 2011.
"
**Portfolios and the market geometry**," Papers 1108.4102, arXiv.org.- Samuel Eleutério & Tanya Araújo & R. Vilela Mendes, 2012.
"
**Portfolios and the market geometry**," Working Papers Department of Economics 2012/09, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.

- Samuel Eleutério & Tanya Araújo & R. Vilela Mendes, 2012.
"
- Alessandro Spelta & Tanya Ara'ujo, 2011.
"
**The topology of cross-border exposures: beyond the minimal spanning tree approach**," Papers 1112.5711, arXiv.org. - Alessandro Spelta & Tanya Araújo, 2012.
"
**Interlinkages and structural changes in cross-border liabilities: a network approach**," Quaderni di Dipartimento 181, University of Pavia, Department of Economics and Quantitative Methods.- Alessandro Spelta & Tanya Araujo, 2012.
"
**Interlinkages and structural changes in cross-border liabilities: a network approach**," Working Papers Department of Economics 2012/19, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.

- Alessandro Spelta & Tanya Araujo, 2012.
"
- Tanya Ara'ujo & Francisco Louc{c}~a, 2004.
"
**Complex Behavior of Stock Markets: Processes of Synchronization and Desynchronization during Crises**," Papers cond-mat/0403333, arXiv.org, revised Mar 2004. - Alessandro Spelta & Tanya Araújo, 2012.
"
**The topology of cross-border exposures: beyond the minimal spanning tree approach**," Working Papers Department of Economics 2012/11, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.- Spelta, Alessandro & Araújo, Tanya, 2012.
"
**The topology of cross-border exposures: Beyond the minimal spanning tree approach**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5572-5583. - Alessandro Spelta & Tanya Araújo, 2012.
"
**The topology of cross-border exposures: beyond the minimal spanning tree approach**," Quaderni di Dipartimento 180, University of Pavia, Department of Economics and Quantitative Methods.

- Spelta, Alessandro & Araújo, Tanya, 2012.
"
- João Carlos Lopes & Tanya Araujo, 2012.
"
**The economic performance of Portuguese and Spanish regions: A network dynamic approach**," Working Papers Department of Economics 2012/04, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa. - Tanya Araujo & Francisco Louçã, 2005.
"
**The Geometry of Crashes - A Measure of the Dynamics of Stock Market Crises**," Working Papers Department of Economics 2005/15, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.- Tanya Araujo & Francisco Louca, 2007.
"
**The geometry of crashes. A measure of the dynamics of stock market crises**," Quantitative Finance, Taylor & Francis Journals, vol. 7(1), pages 63-74.

- Tanya Araujo & Francisco Louca, 2007.
"
- Araújo, Tanya & Fontainha, Elsa, 2017.
"
**The specific shapes of gender imbalance in scientific authorships: A network approach**," Journal of Informetrics, Elsevier, vol. 11(1), pages 88-102.- Tanya Araújo & Elsa Fontainha, 2016.
"
**The specific shapes of gender imbalance in scientific authorships: a network approach**," Working Papers Department of Economics 2016/17, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.

- Tanya Araújo & Elsa Fontainha, 2016.
"
- Tanya Araújo & Francisco Louçã, 2008.
"
**Trouble Ahead – The Subprime Crisis as Evidence of a New Regime in the Stock Market**," Working Papers Department of Economics 2008/26, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa. - Alessandro Spelta & Tanya Ara'ujo, 2012.
"
**Interlinkages and structural changes in cross-border liabilities: a network approach**," Papers 1205.5675, arXiv.org. - JoÃ£o Lopes, 2011.
"
**Industrial Clustering and Sectoral Growth: a Network Dynamics Approach**," ERSA conference papers ersa11p637, European Regional Science Association. - Tanya Ara'ujo & Francisco Louc{c}~a, 2005.
"
**The Geometry of Crashes - A Measure of the Dynamics of Stock Market Crises**," Papers physics/0506137, arXiv.org, revised Jul 2005. - Tanya Araújo & Francisco Louçã, 2008.
"
**The Dynamics of Speculative Markets: The Case of Portugal’s PSI20**," Working Papers Department of Economics 2008/34, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.

- Vilela Mendes, R. & Araújo, Tanya & Louçã, Francisco, 2003.
"
- Tanya Araújo & R. Vilela Mendes, 2001.
"
**Function and form in networks of interacting agents**," Working Papers Department of Economics 2001/03, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.Cited by:

- P. Giudici & A. Spelta, 2016.
"
**Graphical Network Models for International Financial Flows**," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 128-138, January.- Paolo Giudici & Alessandro Spelta, 2013.
"
**Graphical network models for international financial flows**," DEM Working Papers Series 052, University of Pavia, Department of Economics and Management.

- Paolo Giudici & Alessandro Spelta, 2013.
"
- Alessandro Spelta & Tanya Ara'ujo, 2011.
"
**The topology of cross-border exposures: beyond the minimal spanning tree approach**," Papers 1112.5711, arXiv.org. - Alessandro Spelta & Tanya Araújo, 2012.
"
**Interlinkages and structural changes in cross-border liabilities: a network approach**," Quaderni di Dipartimento 181, University of Pavia, Department of Economics and Quantitative Methods.- Alessandro Spelta & Tanya Araujo, 2012.
"
**Interlinkages and structural changes in cross-border liabilities: a network approach**," Working Papers Department of Economics 2012/19, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.

- Alessandro Spelta & Tanya Araujo, 2012.
"
- Alessandro Spelta & Tanya Araújo, 2012.
"
**The topology of cross-border exposures: beyond the minimal spanning tree approach**," Working Papers Department of Economics 2012/11, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.- Spelta, Alessandro & Araújo, Tanya, 2012.
"
**The topology of cross-border exposures: Beyond the minimal spanning tree approach**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5572-5583. - Alessandro Spelta & Tanya Araújo, 2012.
"
**The topology of cross-border exposures: beyond the minimal spanning tree approach**," Quaderni di Dipartimento 180, University of Pavia, Department of Economics and Quantitative Methods.

- Spelta, Alessandro & Araújo, Tanya, 2012.
"
- Tanya Ara'ujo & Rui Faustino, 2016.
"
**The Topology of Inter-industry Relations from the Portuguese National Accounts**," Papers 1612.06291, arXiv.org. - Araújo, Tanya & Fontainha, Elsa, 2017.
"
**The specific shapes of gender imbalance in scientific authorships: A network approach**," Journal of Informetrics, Elsevier, vol. 11(1), pages 88-102.- Tanya Araújo & Elsa Fontainha, 2016.
"
**The specific shapes of gender imbalance in scientific authorships: a network approach**," Working Papers Department of Economics 2016/17, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.

- Tanya Araújo & Elsa Fontainha, 2016.
"

- P. Giudici & A. Spelta, 2016.
"
- R. Vilela Mendes & R. Lima & T. Araujo, 2001.
"
**A process-reconstruction analysis of market fluctuations**," Papers cond-mat/0102301, arXiv.org.Cited by:

- R. Vilela Mendes & M. J. Oliveira & A. M. Rodrigues, 2012.
"
**The fractional volatility model: No-arbitrage, leverage and completeness**," Papers 1205.2866, arXiv.org. - Mendes, Rui Vilela & Oliveira, Maria J., 2008.
"
**A Data-Reconstructed Fractional Volatility Model**," Economics Discussion Papers 2008-22, Kiel Institute for the World Economy (IfW).- Rui Vilela Mendes & M. J. Oliveira, 2006.
"
**A data-reconstructed fractional volatility model**," Papers math/0602013, arXiv.org, revised Jun 2007.

- Rui Vilela Mendes & M. J. Oliveira, 2006.
"

- R. Vilela Mendes & M. J. Oliveira & A. M. Rodrigues, 2012.
"
- Rui Vilela Mendes, 1999.
"
**Characterizing self-organization and coevolution by ergodic invariants**," Working Papers Department of Economics 1999/06, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.- Mendes, R.Vilela, 2000.
"
**Characterizing self-organization and coevolution by ergodic invariants**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 276(3), pages 550-571.

Cited by:

- Mendes, R.Vilela, 2001.
"
**Structure-generating mechanisms in agent-based models**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 295(3), pages 537-561.

- Mendes, R.Vilela, 2000.
"

### Articles

- Vilela Mendes, R. & Oliveira, M.J. & Rodrigues, A.M., 2015.
"
**No-arbitrage, leverage and completeness in a fractional volatility model**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 470-478.Cited by:

- Josselin Garnier & Knut Solna, 2015.
"
**Correction to Black-Scholes formula due to fractional stochastic volatility**," Papers 1509.01175, arXiv.org, revised Mar 2017. - Zhang, Xili & Xiao, Weilin, 2017.
"
**Arbitrage with fractional Gaussian processes**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 620-628.

- Josselin Garnier & Knut Solna, 2015.
"
- Vilela Mendes, R., 2008.
"
**The fractional volatility model: An agent-based interpretation**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3987-3994.See citations under working paper version above.- R. Vilela Mendes, 2007.
"
**The fractional volatility model: An agent-based interpretation**," Papers 0706.3827, arXiv.org, revised Aug 2007.

- R. Vilela Mendes, 2007.
"
- Vilela Mendes, R. & Araújo, Tanya & Louçã, Francisco, 2003.
"
**Reconstructing an economic space from a market metric**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 323(C), pages 635-650.See citations under working paper version above.- R. Vilela Mendes & Tanya Ara'ujo & Francisco Louc{c}~a, 2002.
"
**Reconstructing an economic space from a market metric**," Papers cond-mat/0211108, arXiv.org.

- R. Vilela Mendes & Tanya Ara'ujo & Francisco Louc{c}~a, 2002.
"
- Mendes, R.Vilela, 2001.
"
**Structure-generating mechanisms in agent-based models**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 295(3), pages 537-561.Cited by:

- J. Silvestre, & T. Araújo & M. St. Aubyn, 2016.
"
**Economic growth and individual satisfaction in an agent-based economy**," Working Papers Department of Economics 2016/19, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa. - Tanya Araujo & Francisco Louçã, 2005.
"
**The Geometry of Crashes - A Measure of the Dynamics of Stock Market Crises**," Working Papers Department of Economics 2005/15, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.- Tanya Araujo & Francisco Louca, 2007.
"
**The geometry of crashes. A measure of the dynamics of stock market crises**," Quantitative Finance, Taylor & Francis Journals, vol. 7(1), pages 63-74.

- Tanya Araujo & Francisco Louca, 2007.
"
- Tanya Ara'ujo & Francisco Louc{c}~a, 2005.
"
**The Geometry of Crashes - A Measure of the Dynamics of Stock Market Crises**," Papers physics/0506137, arXiv.org, revised Jul 2005.

- J. Silvestre, & T. Araújo & M. St. Aubyn, 2016.
"
- Mendes, R.Vilela, 2000.
"
**Characterizing self-organization and coevolution by ergodic invariants**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 276(3), pages 550-571.See citations under working paper version above.- Rui Vilela Mendes, 1999.
"
**Characterizing self-organization and coevolution by ergodic invariants**," Working Papers Department of Economics 1999/06, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.

- Rui Vilela Mendes, 1999.
"

## More information

Research fields, statistics, top rankings, if available.### Statistics

#### Access and download statistics for all items

### Co-authorship network on CollEc

### Featured entries

This author is featured on the following reading lists, publication compilations or Wikipedia entries:### NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ETS: Econometric Time Series (3) 2008-06-13 2010-07-24 2012-05-22
- NEP-CMP: Computational Economics (2) 2007-01-02 2007-12-15
- NEP-INO: Innovation (2) 2007-01-02 2007-12-15
- NEP-CSE: Economics of Strategic Management (1) 2007-01-02
- NEP-MIC: Microeconomics (1) 2007-01-02

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