# Josep Perelló

### Contents:

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## 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 |

- Jaume Masoliver & Josep Perello, 2009.
"
**First-passage and risk evaluation under stochastic volatility**," Papers 0902.2735, arXiv.org. - Jaume Masoliver & Josep Perello, 2008.
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**The escape problem under stochastic volatility: the Heston model**," Papers 0807.1014, arXiv.org. - J. Perello & J. Masoliver & A. Kasprzak & R. Kutner, 2008.
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**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. - 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. - Carl Chiarella & Giulia Iori & Josep Perello, 2007.
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**The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows**," Papers 0711.3581, arXiv.org.- Chiarella, Carl & Iori, Giulia, 2009.
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**The impact of heterogeneous trading rules on the limit order book and order flows**," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 525-537.

- Carl Chiarella & Giulia Iori, 2005.
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**The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows**," Research Paper Series 152, Quantitative Finance Research Centre, University of Technology, Sydney. - Chiarella, C. & Iori, G. & Perello, J., 2008.
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**The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows**," Working Papers 08/04, Department of Economics, City University London.

- Chiarella, Carl & Iori, Giulia, 2009.
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- Josep Perello, 2006.
"
**Market memory and fat tail consequences in option pricing on the expOU stochastic volatility model**," Papers physics/0607265, arXiv.org. - 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. - Zoltan Eisler & Josep Perello & Jaume Masoliver, 2006.
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**Volatility: a hidden Markov process in financial time series**," Papers physics/0612084, arXiv.org, revised Jul 2007. - Jaume Masoliver & Josep Perello, 2006.
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**Extreme times for volatility processes**," Papers physics/0609136, arXiv.org, revised May 2007. - Josep Perello, 2006.
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**Downside Risk analysis applied to Hedge Funds universe**," Papers physics/0610162, arXiv.org, revised Apr 2007. - Jaume Masoliver & Josep Perello, 2005.
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**Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model**," Papers cond-mat/0501639, arXiv.org.- Jaume Masoliver & Josep Perello, 2006.
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**Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model**," Quantitative Finance, Taylor & Francis Journals, vol. 6(5), pages 423-433.

- Jaume Masoliver & Josep Perello, 2006.
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- Miquel Montero & Josep Perello & Jaume Masoliver & Fabrizio Lillo & Salvatore Micciche & Rosario N. Mantegna, 2005.
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**Scaling and data collapse for the mean exit time of asset prices**," Papers physics/0507054, arXiv.org. - Hans-Peter Bermin & Arturo Kohatsu-Higa & Josep Perello, 2004.
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**Hints for an extension of the early exercise premium formula for American options**," Papers cond-mat/0409319, arXiv.org. - Jaume Masoliver & Miquel Montero & Josep Perello, 2004.
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**Extreme times in financial markets**," Papers cond-mat/0406556, arXiv.org. - Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2003.
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**Multiple time scales in volatility and leverage correlation: A stochastic volatility model**," Science & Finance (CFM) working paper archive 50001, Science & Finance, Capital Fund Management.- Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2004.
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**Multiple time scales in volatility and leverage correlations: a stochastic volatility model**," Applied Mathematical Finance, Taylor & Francis Journals, vol. 11(1), pages 27-50.

- Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2003.
"
**Multiple time scales in volatility and leverage correlations: An stochastic volatility model**," Papers cond-mat/0302095, arXiv.org.

- Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2004.
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- Luigi Palatella & Josep Perello & Miquel Montero & Jaume Masoliver, 2003.
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**Activity autocorrelation in financial markets. A comparative study between several models**," Papers cond-mat/0312489, arXiv.org. - Jaume Masoliver & Miquel Montero & Josep Perello & George H. Weiss, 2003.
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**The CTRW in finance: Direct and inverse problems with some generalizations and extensions**," Papers cond-mat/0308017, arXiv.org, revised Nov 2006.- Masoliver, Jaume & Montero, Miquel & Perelló, Josep & Weiss, George H., 2007.
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**The CTRW in finance: Direct and inverse problems with some generalizations and extensions**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(1), pages 151-167.

- Masoliver, Jaume & Montero, Miquel & Perelló, Josep & Weiss, George H., 2007.
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- Josep Perello & Jaume Masoliver & Napoleon Anento, 2003.
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**A comparison between several correlated stochastic volatility models**," Papers cond-mat/0312121, arXiv.org.- Perelló, Josep & Masoliver, Jaume & Anento, Napoleón, 2004.
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**A comparison between several correlated stochastic volatility models**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 134-137.

- Perelló, Josep & Masoliver, Jaume & Anento, Napoleón, 2004.
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- Josep Perello & Jaume Masoliver, 2002.
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**Stochastic volatility and leverage effect**," Papers cond-mat/0202203, arXiv.org. - Jaume Masoliver & Miquel Montero & Josep Perello, 2001.
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**Return or stock price differences**," Papers cond-mat/0111529, arXiv.org.- Montero, Miquel & Perelló, Josep & Masoliver, Jaume, 2002.
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**Return or stock price differences**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 539-560.

- Montero, Miquel & Perelló, Josep & Masoliver, Jaume, 2002.
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- J. Perello & J. M. Porra & M. Montero & J. Masoliver, 2000.
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**Black-Scholes option pricing within Ito and Stratonovich conventions**," Papers physics/0001040, arXiv.org, revised Apr 2000.- Perelló, J & Porrà, J.M & Montero, M & Masoliver, J, 2000.
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**Black–Scholes option pricing within Itô and Stratonovich conventions**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 278(1), pages 260-274.

- Perelló, J & Porrà, J.M & Montero, M & Masoliver, J, 2000.
"
- Jaume Masoliver & Miquel Montero & Josep Perello, .
"
**The continuous time random walk formalism in financial markets**," Modeling, Computing, and Mastering Complexity 2003 24, Society for Computational Economics.- Masoliver, Jaume & Montero, Miquel & Perello, Josep & Weiss, George H., 2006.
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**The continuous time random walk formalism in financial markets**," Journal of Economic Behavior & Organization, Elsevier, vol. 61(4), pages 577-598, December.

- J. Masoliver & M. Montero & J. Perello & G. H. Weiss, 2006.
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**The continuous time random walk formalism in financial markets**," Papers physics/0611138, arXiv.org.

- Masoliver, Jaume & Montero, Miquel & Perello, Josep & Weiss, George H., 2006.
"

- 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.- J. Masoliver & M. Montero & J. Perello & G. H. Weiss, 2006.
"
**The continuous time random walk formalism in financial markets**," Papers physics/0611138, arXiv.org. - Jaume Masoliver & Miquel Montero & Josep Perello, .
"
**The continuous time random walk formalism in financial markets**," Modeling, Computing, and Mastering Complexity 2003 24, Society for Computational Economics.

- J. Masoliver & M. Montero & J. Perello & G. H. Weiss, 2006.
"
- 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.- 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. - Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2003.
"
**Multiple time scales in volatility and leverage correlations: An stochastic volatility model**," Papers cond-mat/0302095, arXiv.org.

- Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2003.
"

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.

- NEP-ETS:
**Econometric Time Series**(2) 2004-01-25 2005-02-13. Author is listed - NEP-FIN:
**Finance**(2) 2004-01-25 2005-02-13. Author is listed - NEP-RMG:
**Risk Management**(2) 2004-01-25 2009-09-26. Author is listed - NEP-FMK:
**Financial Markets**(1) 2005-02-13. Author is listed - NEP-UPT:
**Utility Models & Prospect Theory**(1) 2009-09-26. Author is listed

#### Most cited item

- 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.

#### Most downloaded item (past 12 months)

- 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.

#### Access and download statistics for all items

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