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Josep Perelló

Personal Details

First Name:Josep
Middle Name:
Last Name:Perelló
Suffix:
RePEc Short-ID:ppe74
http://www.ffn.ub.es/pages/financeen.html
Departament de Física Fonamental Universitat de Barcelona Diagonal, 647 Barcelona E-08028 (Spain)
0034 (9)3 402 11 50

Affiliation

Grup de Sistemes Estocástics i Dynámica Financera
Universitat de Barcelona

Barcelona, Spain
http://web.ffn.ub.es/node/6&id=1059

:


RePEc:edi:gefubes (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Jaume Masoliver & Josep Perello, 2009. "First-passage and risk evaluation under stochastic volatility," Papers 0902.2735, arXiv.org.
  2. J. Perello & J. Masoliver & A. Kasprzak & R. Kutner, 2008. "A model for interevent times with long tails and multifractality in human communications: An application to financial trading," Papers 0805.1353, arXiv.org, revised Jul 2008.
  3. Jaume Masoliver & Josep Perello, 2008. "The escape problem under stochastic volatility: the Heston model," Papers 0807.1014, arXiv.org.
  4. Josep Perello & Ronnie Sircar & Jaume Masoliver, 2008. "Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model," Papers 0804.2589, arXiv.org, revised May 2008.
  5. Carl Chiarella & Giulia Iori & Josep Perello, 2007. "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows," Papers 0711.3581, arXiv.org.
  6. Josep Perello, 2006. "Market memory and fat tail consequences in option pricing on the expOU stochastic volatility model," Papers physics/0607265, arXiv.org.
  7. Josep Perello & Miquel Montero & Luigi Palatella & Ingve Simonsen & Jaume Masoliver, 2006. "Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion," Papers physics/0609066, arXiv.org.
  8. Josep Perello, 2006. "Downside Risk analysis applied to Hedge Funds universe," Papers physics/0610162, arXiv.org, revised Apr 2007.
  9. Jaume Masoliver & Josep Perello, 2006. "Extreme times for volatility processes," Papers physics/0609136, arXiv.org, revised May 2007.
  10. Zoltan Eisler & Josep Perello & Jaume Masoliver, 2006. "Volatility: a hidden Markov process in financial time series," Papers physics/0612084, arXiv.org, revised Jul 2007.
  11. Miquel Montero & Josep Perello & Jaume Masoliver & Fabrizio Lillo & Salvatore Micciche & Rosario N. Mantegna, 2005. "Scaling and data collapse for the mean exit time of asset prices," Papers physics/0507054, arXiv.org.
  12. Jaume Masoliver & Josep Perello, 2005. "Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model," Papers cond-mat/0501639, arXiv.org.
  13. Hans-Peter Bermin & Arturo Kohatsu-Higa & Josep Perello, 2004. "Hints for an extension of the early exercise premium formula for American options," Papers cond-mat/0409319, arXiv.org.
  14. Jaume Masoliver & Miquel Montero & Josep Perello, 2004. "Extreme times in financial markets," Papers cond-mat/0406556, arXiv.org.
  15. Josep Perello & Jaume Masoliver & Napoleon Anento, 2003. "A comparison between several correlated stochastic volatility models," Papers cond-mat/0312121, arXiv.org.
  16. Jaume Masoliver & Miquel Montero & Josep Perello & George H. Weiss, 2003. "The CTRW in finance: Direct and inverse problems with some generalizations and extensions," Papers cond-mat/0308017, arXiv.org, revised Nov 2006.
  17. Luigi Palatella & Josep Perello & Miquel Montero & Jaume Masoliver, 2003. "Activity autocorrelation in financial markets. A comparative study between several models," Papers cond-mat/0312489, arXiv.org.
  18. Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2003. "Multiple time scales in volatility and leverage correlation: A stochastic volatility model," Science & Finance (CFM) working paper archive 50001, Science & Finance, Capital Fund Management.
  19. Josep Perello & Jaume Masoliver, 2002. "Stochastic volatility and leverage effect," Papers cond-mat/0202203, arXiv.org.
  20. Jaume Masoliver & Miquel Montero & Josep Perello, 2001. "Return or stock price differences," Papers cond-mat/0111529, arXiv.org.
  21. J. Perello & J. M. Porra & M. Montero & J. Masoliver, 2000. "Black-Scholes option pricing within Ito and Stratonovich conventions," Papers physics/0001040, arXiv.org, revised Apr 2000.
  22. Jaume Masoliver & Miquel Montero & Josep Perello, "undated". "The continuous time random walk formalism in financial markets," Modeling, Computing, and Mastering Complexity 2003 24, Society for Computational Economics.

Articles

  1. 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.
  2. Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2004. "Multiple time scales in volatility and leverage correlations: a stochastic volatility model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 11(1), pages 27-50.

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

  1. Jaume Masoliver & Josep Perello, 2009. "First-passage and risk evaluation under stochastic volatility," Papers 0902.2735, arXiv.org.

    Cited by:

    1. Kim, Min Jae & Kim, Sehyun & Jo, Yong Hwan & Kim, Soo Yong, 2011. "Dependence structure of the commodity and stock markets, and relevant multi-spread strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3842-3854.

  2. J. Perello & J. Masoliver & A. Kasprzak & R. Kutner, 2008. "A model for interevent times with long tails and multifractality in human communications: An application to financial trading," Papers 0805.1353, arXiv.org, revised Jul 2008.

    Cited by:

    1. Lubashevsky, Ihor & Friedrich, Rudolf & Heuer, Andreas & Ushakov, Andrey, 2009. "Generalized superstatistics of nonequilibrium Markovian systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(21), pages 4535-4550.
    2. Bełej Mirosław & Kulesza Sławomir, 2014. "The Influence Of Financing On The Dynamics Of Housing Prices," Folia Oeconomica Stetinensia, De Gruyter Open, vol. 14(2), pages 101-113, December.

  3. Jaume Masoliver & Josep Perello, 2008. "The escape problem under stochastic volatility: the Heston model," Papers 0807.1014, arXiv.org.

    Cited by:

    1. Kim, Min Jae & Kim, Sehyun & Jo, Yong Hwan & Kim, Soo Yong, 2011. "Dependence structure of the commodity and stock markets, and relevant multi-spread strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3842-3854.
    2. Devreese, J.P.A. & Lemmens, D. & Tempere, J., 2010. "Path integral approach to Asian options in the Black–Scholes model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(4), pages 780-788.

  4. Josep Perello & Ronnie Sircar & Jaume Masoliver, 2008. "Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model," Papers 0804.2589, arXiv.org, revised May 2008.

    Cited by:

    1. Oliver Pfante & Nils Bertschinger, 2016. "Uncertainty Estimates in the Heston Model via Fisher Information," Papers 1610.04760, arXiv.org, revised Oct 2016.
    2. Nils Bertschinger & Oliver Pfante, 2015. "Inferring Volatility in the Heston Model and its Relatives -- an Information Theoretical Approach," Papers 1512.08381, arXiv.org.
    3. S. Kuchuk-Iatsenko & Y. Mishura & Y. Munchak, 2016. "Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility," Papers 1608.00230, arXiv.org.
    4. Giacomo Bormetti & Valentina Cazzola & Danilo Delpini, 2009. "Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model," Papers 0905.1882, arXiv.org, revised May 2010.
    5. Oliver Pfante & Nils Bertschinger, 2016. "Volatility Inference and Return Dependencies in Stochastic Volatility Models," Papers 1610.00312, arXiv.org.
    6. Frontczak, Robert & Rostek, Stefan, 2015. "Modeling loss given default with stochastic collateral," Economic Modelling, Elsevier, vol. 44(C), pages 162-170.
    7. Giacomo Bormetti & Valentina Cazzola & Guido Montagna & Oreste Nicrosini, 2008. "Probability distribution of returns in the exponential Ornstein-Uhlenbeck model," Papers 0805.0540, arXiv.org, revised Oct 2008.
    8. Sergii Kuchuk-Iatsenko & Yuliya Mishura, 2015. "Pricing the European call option in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Exact formulas," Papers 1510.01848, arXiv.org.

  5. Carl Chiarella & Giulia Iori & Josep Perello, 2007. "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows," Papers 0711.3581, arXiv.org.

    Cited by:

    1. Paolo Pellizzari & Dan Ladley, 2014. "The simplicity of optimal trading in order book markets," Working Papers 2014:05, Department of Economics, University of Venice "Ca' Foscari".
    2. Marko Petrovic & Bulent Ozel & Andrea Teglio & Marco Raberto & Silvano Cincotti, 2017. "Eurace Open: An agent-based multi-country model," Working Papers 2017/09, Economics Department, Universitat Jaume I, Castellón (Spain).
    3. Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yong-Jie Zhang & Wei Chen & Wei-Xing Zhou, 2017. "An empirical behavioural order-driven model with price limit rules," Papers 1704.04354, arXiv.org.
    4. Hautsch, Nikolaus & Huang, Ruihong, 2009. "The market impact of a limit order," CFS Working Paper Series 2009/23, Center for Financial Studies (CFS).
    5. Hai-Chuan Xu & Wei Zhang & Xiong Xiong & Wei-Xing Zhou, 2014. "An agent-based computational model for China's stock market and stock index futures market," Papers 1404.1052, arXiv.org.
    6. Carl Chiarella & Xue-Zhong He & Lijian Wei, 2013. "Learning and Evolution of Trading Strategies in Limit Order Markets," Research Paper Series 335, Quantitative Finance Research Centre, University of Technology, Sydney.
    7. Yamamoto, Ryuichi, 2011. "Order aggressiveness, pre-trade transparency, and long memory in an order-driven market," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1938-1963.
    8. Chiarella, Carl & He, Xue-Zhong & Wei, Lijian, 2015. "Learning, information processing and order submission in limit order markets," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 245-268.
    9. Francesco Lamperti & Andrea Roventini & Amir Sani, 2017. "Agent-Based Model Calibration using Machine Learning Surrogates," Papers 1703.10639, arXiv.org, revised Apr 2017.
    10. Roberto Mota Navarro & Hern'an Larralde Ridaura, 2016. "A detailed heterogeneous agent model for a single asset financial market with trading via an order book," Papers 1601.00229, arXiv.org, revised Jul 2016.
    11. Francesco Lamperti, 2016. "Empirical Validation of Simulated Models through the GSL-div: an Illustrative Application," LEM Papers Series 2016/18, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    12. Pyo, Dong-Jin, 2014. "A Multi-Factor Model of Heterogeneous Traders in a Dynamic Stock Market," Staff General Research Papers Archive 37358, Iowa State University, Department of Economics.
    13. Vivien Lespagnol & Juliette Rouchier, 2014. "Trading Volume and Market Efficiency: An Agent Based Model with Heterogenous Knowledge about Fundamentals," Working Papers halshs-00997573, HAL.
    14. Biondo, Alessio Emanuele, 2017. "Learning to forecast, risk aversion, and microstructural aspects of financial stability," Economics Discussion Papers 2017-104, Kiel Institute for the World Economy (IfW).
    15. Anufriev, Mikhail & Panchenko, Valentyn, 2009. "Asset prices, traders' behavior and market design," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1073-1090, May.
    16. Fricke, Daniel & Lux, Thomas, 2013. "The effects of a financial transaction tax in an artificial financial market," Kiel Working Papers 1868, Kiel Institute for the World Economy (IfW).
    17. Marc de Kamps & Daniel Ladley & Aistis Simaitis, 2012. "Heterogeneous Beliefs in Over-The-Counter Markets," Discussion Papers in Economics 13/03, Department of Economics, University of Leicester, revised Sep 2013.
    18. Alexandru Mandes & Peter Winker, 2015. "Complexity and Model Comparison in Agent Based Modeling of Financial Markets," MAGKS Papers on Economics 201528, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    19. Simone Berardi & Gabriele Tedeschi, 2016. "How banks’ strategies influence financial cycles: An approach to identifying micro behavior," Working Papers 2016/24, Economics Department, Universitat Jaume I, Castellón (Spain).
    20. Recchioni, Maria Cristina & Tedeschi, Gabriele & Gallegati, Mauro, 2014. "A calibration procedure for analyzing stock price dynamics in an agent-based framework," FinMaP-Working Papers 26, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    21. Kyubin Yim & Gabjin Oh & Seunghwan Kim, 2015. "Understanding Financial Market States Using Artificial Double Auction Market," Papers 1503.00913, arXiv.org.
    22. Kluger, Brian D. & McBride, Mark E., 2011. "Intraday trading patterns in an intelligent autonomous agent-based stock market," Journal of Economic Behavior & Organization, Elsevier, vol. 79(3), pages 226-245, August.
    23. Jagjeev Dosanjh, 2017. "Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 34.
    24. Kovaleva, Polina & Iori, Giulia, 2015. "The impact of reduced pre-trade transparency regimes on market quality," Journal of Economic Dynamics and Control, Elsevier, vol. 57(C), pages 145-162.
    25. Recchioni, Maria Cristina & Tedeschi, Gabriele & Berardi, Simone, 2014. "Bank's strategies during the financial crisis," FinMaP-Working Papers 25, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    26. Ryuichi Yamamoto, 2015. "Dynamic predictor selection and order splitting in a limit order market," Working Papers 1514, Waseda University, Faculty of Political Science and Economics.
    27. Liudmila G. Egorova, 2014. "The Effectiveness Of Different Trading Strategies For Price-Takers," HSE Working papers WP BRP 29/FE/2014, National Research University Higher School of Economics.
    28. R. Yamamoto & B. LeBaron, 2010. "Order-splitting and long-memory in an order-driven market," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 73(1), pages 51-57, January.
    29. Chiarella, Carl & He, Xue-Zhong & Pellizzari, Paolo, 2012. "A Dynamic Analysis Of The Microstructure Of Moving Average Rules In A Double Auction Market," Macroeconomic Dynamics, Cambridge University Press, vol. 16(04), pages 556-575, September.
    30. Ryuichi Yamamoto & Hideaki Hirata, "undated". "Strategy Switching in the Japanese Stock Market," Working Paper 164466, Harvard University OpenScholar.
    31. Ted Theodosopoulos, 2016. "Hierarchical economic agents and their interactions," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 11(2), pages 345-377, October.
    32. Pyo, Dong-Jin, 2015. "Animal spirits and stock market dynamics," ISU General Staff Papers 201501010800005596, Iowa State University, Department of Economics.
    33. Carl Chiarella & Xue-Zhong He & Lei Shi & Lijian Wei, 2017. "A behavioural model of investor sentiment in limit order markets," Quantitative Finance, Taylor & Francis Journals, vol. 17(1), pages 71-86, January.
    34. Lof, Matthijs, 2013. "Essays on Expectations and the Econometrics of Asset Pricing," MPRA Paper 59064, University Library of Munich, Germany.
    35. Jovanovic, Franck & Schinckus, Christophe, 2016. "Breaking down the barriers between econophysics and financial economics," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 256-266.
    36. Mingjie Ji & Honggang Li, 2016. "Exploring Price Fluctuations in a Double Auction Market," Computational Economics, Springer;Society for Computational Economics, vol. 48(2), pages 189-209, August.
    37. Donovan Platt & Tim Gebbie, 2016. "Can Agent-Based Models Probe Market Microstructure?," Papers 1611.08510, arXiv.org, revised Aug 2017.
    38. Alexandru Mandes, 2014. "Order Placement in a Continuous Double Auction Agent Based Model," MAGKS Papers on Economics 201443, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    39. Chiarella, Carl & Ladley, Daniel, 2016. "Chasing trends at the micro-level: The effect of technical trading on order book dynamics," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 119-131.
    40. Shu-Peng Chen & Ling-Yun He, 2013. "Bubble Formation and Heterogeneity of Traders: A Multi-Agent Perspective," Computational Economics, Springer;Society for Computational Economics, vol. 42(3), pages 267-289, October.
    41. Wei, Lijian & Zhang, Wei & Xiong, Xiong & Shi, Lei, 2015. "Position limit for the CSI 300 stock index futures market," Economic Systems, Elsevier, vol. 39(3), pages 369-389.
    42. Tedeschi, Gabriele & Iori, Giulia & Gallegati, Mauro, 2012. "Herding effects in order driven markets: The rise and fall of gurus," Journal of Economic Behavior & Organization, Elsevier, vol. 81(1), pages 82-96.
    43. Vivien Lespagnol & Juliette Rouchier, 2018. "Trading Volume and Price Distortion: An Agent-Based Model with Heterogenous Knowledge of Fundamentals," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 991-1020, April.
    44. Ya-Chi Huang & Chueh-Yung Tsao, 2018. "Discovering Traders’ Heterogeneous Behavior in High-Frequency Financial Data," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 821-846, April.
    45. Saki Kawakubo & Kiyoshi Izumi & Shinobu Yoshimura, 2014. "Analysis Of An Option Market Dynamics Based On A Heterogeneous Agent Model," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 21(2), pages 105-128, April.
    46. Chia-Hsuan Yeh & Chun-Yi Yang, 2013. "Do price limits hurt the market?," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 8(1), pages 125-153, April.
    47. Schasfoort, Joeri & Stockermans, Christopher, 2017. "Fundamentals unknown: Momentum, mean-reversion and price-to-earnings trading in an artificial stock market," Economics Discussion Papers 2017-63, Kiel Institute for the World Economy (IfW).
    48. Georges, Christophre, 2008. "Staggered updating in an artificial financial market," Journal of Economic Dynamics and Control, Elsevier, vol. 32(9), pages 2809-2825, September.
    49. Blake LeBaron & Ryuichi Yamamoto, 2008. "The Impact of Imitation on Long Memory in an Order-Driven Market," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 34(4), pages 504-517.
    50. Yosra Mefteh Rekik & Younes Boujelbene, 2015. "Price Dynamics and Market Volatility: Behavioral Heterogeneity under Switching Trading Strategies on Artificial Financial Market," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 6(2), pages 33-43, April.
    51. Donovan Platt & Tim Gebbie, 2016. "The Problem of Calibrating an Agent-Based Model of High-Frequency Trading," Papers 1606.01495, arXiv.org, revised Mar 2017.
    52. Forsyth, P.A. & Kennedy, J.S. & Tse, S.T. & Windcliff, H., 2012. "Optimal trade execution: A mean quadratic variation approach," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1971-1991.
    53. Lof, Matthijs, 2012. "Heterogeneity in stock prices: A STAR model with multivariate transition function," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1845-1854.
    54. Lijian Wei & Wei Zhang & Xue-Zhong He & Yongjie Zhang, 2013. "Learning and Information Dissemination in Limit Order Markets," Research Paper Series 333, Quantitative Finance Research Centre, University of Technology, Sydney.
    55. Gsell, Markus, 2008. "Assessing the impact of algorithmic trading on markets: A simulation approach," CFS Working Paper Series 2008/49, Center for Financial Studies (CFS).
    56. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
    57. Hazem Krichene & Mhamed-Ali El-Aroui, 2018. "Agent-Based Simulation and Microstructure Modeling of Immature Stock Markets," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 493-511, March.
    58. Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2017. "Market entry waves and volatility outbursts in stock markets," BERG Working Paper Series 128, Bamberg University, Bamberg Economic Research Group.
    59. Lijian Wei & Wei Zhang & Xiong Xiong & Lei Shi, 2014. "Position-Limit Design for the CSI 300 Futures Markets," Research Paper Series 349, Quantitative Finance Research Centre, University of Technology, Sydney.
    60. Georges, Christophre & Wallace, John C., 2009. "Learning Dynamics And Nonlinear Misspecification In An Artificial Financial Market," Macroeconomic Dynamics, Cambridge University Press, vol. 13(05), pages 625-655, November.
    61. Alexandru Mandes, 2015. "Impact of inventory-based electronic liquidity providers within a high-frequency event- and agent-based modeling framework," MAGKS Papers on Economics 201515, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).

  6. Josep Perello & Miquel Montero & Luigi Palatella & Ingve Simonsen & Jaume Masoliver, 2006. "Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion," Papers physics/0609066, arXiv.org.

    Cited by:

    1. Erzgräber, Hartmut & Strozzi, Fernanda & Zaldívar, José-Manuel & Touchette, Hugo & Gutiérrez, Eugénio & Arrowsmith, David K., 2008. "Time series analysis and long range correlations of Nordic spot electricity market data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(26), pages 6567-6574.
    2. Weron, Rafal, 2008. "Market price of risk implied by Asian-style electricity options and futures," Energy Economics, Elsevier, vol. 30(3), pages 1098-1115, May.
    3. Bigdeli, N. & Afshar, K., 2009. "Characterization of Iran electricity market indices with pay-as-bid payment mechanism," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1577-1592.
    4. G. Papaioannou & P. Papaioannou & N. Parliaris, 2014. "Modeling the stylized facts of wholesale system marginal price (SMP) and the impacts of regulatory reforms on the Greek Electricity Market," Papers 1401.5452, arXiv.org.
    5. Alvarez-Ramirez, J. & Escarela-Perez, R. & Espinosa-Perez, G. & Urrea, R., 2009. "Dynamics of electricity market correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(11), pages 2173-2188.

  7. Miquel Montero & Josep Perello & Jaume Masoliver & Fabrizio Lillo & Salvatore Micciche & Rosario N. Mantegna, 2005. "Scaling and data collapse for the mean exit time of asset prices," Papers physics/0507054, arXiv.org.

    Cited by:

    1. Zoltan Eisler & Janos Kertesz & Fabrizio Lillo & Rosario Mantegna, 2009. "Diffusive behavior and the modeling of characteristic times in limit order executions," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 547-563.
    2. Bernardo Spagnolo & Davide Valenti, 2008. "Volatility Effects on the Escape Time in Financial Market Models," Papers 0810.1625, arXiv.org.

  8. Jaume Masoliver & Josep Perello, 2005. "Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model," Papers cond-mat/0501639, arXiv.org.

    Cited by:

    1. Jun-jie Chen & Bo Zheng & Lei Tan, 2014. "Agent-based model with asymmetric trading and herding for complex financial systems," Papers 1407.5258, arXiv.org.
    2. Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 15(3), pages 94-138.
    3. Nils Bertschinger & Oliver Pfante, 2015. "Inferring Volatility in the Heston Model and its Relatives -- an Information Theoretical Approach," Papers 1512.08381, arXiv.org.
    4. Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models : from GARCH to Multi-Horizon Cascades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390636, HAL.
    5. Giacomo Bormetti & Valentina Cazzola & Danilo Delpini, 2009. "Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model," Papers 0905.1882, arXiv.org, revised May 2010.
    6. Miccichè, S., 2016. "Understanding the determinants of volatility clustering in terms of stationary Markovian processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 186-197.
    7. Buchbinder, G.L. & Chistilin, K.M., 2007. "Multiple time scales and the empirical models for stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(1), pages 168-178.

  9. Josep Perello & Jaume Masoliver & Napoleon Anento, 2003. "A comparison between several correlated stochastic volatility models," Papers cond-mat/0312121, arXiv.org.

    Cited by:

    1. Eisler, Z. & Kertész, J., 2004. "Multifractal model of asset returns with leverage effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 343(C), pages 603-622.
    2. Nakamura, Tomomichi & Small, Michael, 2007. "Tests of the random walk hypothesis for financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(2), pages 599-615.
    3. Wei, Yu, 2012. "Forecasting volatility of fuel oil futures in China: GARCH-type, SV or realized volatility models?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5546-5556.
    4. Zoltan Eisler & Janos Kertesz, 2004. "Multifractal model of asset returns with leverage effect," Papers cond-mat/0403767, arXiv.org, revised May 2004.
    5. Buchbinder, G.L. & Chistilin, K.M., 2007. "Multiple time scales and the empirical models for stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(1), pages 168-178.

  10. Jaume Masoliver & Miquel Montero & Josep Perello & George H. Weiss, 2003. "The CTRW in finance: Direct and inverse problems with some generalizations and extensions," Papers cond-mat/0308017, arXiv.org, revised Nov 2006.

    Cited by:

    1. Vallois, Pierre & Tapiero, Charles S., 2007. "Memory-based persistence in a counting random walk process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 386(1), pages 303-317.
    2. 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.

  11. Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2003. "Multiple time scales in volatility and leverage correlation: A stochastic volatility model," Science & Finance (CFM) working paper archive 50001, Science & Finance, Capital Fund Management.

    Cited by:

    1. Pierre-Alain Reigneron & Romain Allez & Jean-Philippe Bouchaud, 2010. "Principal Regression Analysis and the index leverage effect," Papers 1011.5810, arXiv.org, revised Feb 2011.
    2. Matthew Lorig, 2010. "Time-Changed Fast Mean-Reverting Stochastic Volatility Models," Papers 1010.5203, arXiv.org, revised Apr 2012.
    3. Zhiyuan Liu & M. Dashti Moghaddam & R. A. Serota, 2017. "Distributions of Historic Market Data - Stock Returns," Papers 1711.11003, arXiv.org, revised Dec 2017.
    4. Griffin, Jim & Steel, Mark F.J., 2008. "Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes," MPRA Paper 11071, University Library of Munich, Germany.
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    6. Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 15(3), pages 94-138.
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    9. Chicheportiche, Rémy & Chakraborti, Anirban, 2017. "A model-free characterization of recurrences in stationary time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 474(C), pages 312-318.
    10. Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models : from GARCH to Multi-Horizon Cascades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390636, HAL.
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    12. Lisa Borland & Jean-Philippe Bouchaud, 2005. "On a multi-timescale statistical feedback model for volatility fluctuations," Science & Finance (CFM) working paper archive 500059, Science & Finance, Capital Fund Management.
    13. Reigneron, Pierre-Alain & Allez, Romain & Bouchaud, Jean-Philippe, 2011. "Principal regression analysis and the index leverage effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(17), pages 3026-3035.
    14. Yang, Honglin & Wan, Hong & Zha, Yong, 2013. "Autocorrelation type, timescale and statistical property in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(7), pages 1681-1693.
    15. Buchbinder, G.L. & Chistilin, K.M., 2007. "Multiple time scales and the empirical models for stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(1), pages 168-178.

  12. Jaume Masoliver & Miquel Montero & Josep Perello, "undated". "The continuous time random walk formalism in financial markets," Modeling, Computing, and Mastering Complexity 2003 24, Society for Computational Economics.

    Cited by:

    1. 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.
    2. 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.
    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, vol. 388(14), pages 2839-2853.
    4. 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.
    5. 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.
    6. 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.

Articles

  1. 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.
    See citations under working paper version above.
  2. Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2004. "Multiple time scales in volatility and leverage correlations: a stochastic volatility model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 11(1), pages 27-50.
    See citations under working paper version above.Sorry, no citations of articles recorded.

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 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.
  1. NEP-ETS: Econometric Time Series (2) 2004-01-25 2005-02-13
  2. NEP-FIN: Finance (2) 2004-01-25 2005-02-13
  3. NEP-RMG: Risk Management (2) 2004-01-25 2009-09-26
  4. NEP-FMK: Financial Markets (1) 2005-02-13
  5. NEP-UPT: Utility Models & Prospect Theory (1) 2009-09-26

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