# Enrico Scalas

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## Personal Details

First Name: | Enrico |

Middle Name: | |

Last Name: | Scalas |

Suffix: | |

RePEc Short-ID: | psc89 |

http://www.mfn.unipmn.it/~scalas | |

Universita' del Piemonte Orientale, Dipartimento di Scienze e Innovazione Tecnologica, Via T. Michel 11, 15121 Alessandria, Italy | |

+39 0131 360170 |

- Giacomo Livan & Simone Alfarano & Mishael Milakovic & Enrico Scalas, 2014.
"
**A spectral perspective on excess volatility**," Working Papers 2014/13, Economics Department, Universitat Jaume I, Castellón (Spain).- Giacomo Livan & Simone Alfarano & Mishael Milaković & Enrico Scalas, 2015.
"
**A spectral perspective on excess volatility**," Applied Economics Letters, Taylor & Francis Journals, vol. 22(9), pages 745-750, June.

- Livan, Giacomo & Alfarano, Simone & Milakovic, Mishael & Scalas, Enrico, 2014.
"
**A spectral perspective on excess volatility**," FinMaP-Working Papers 12, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.

- Giacomo Livan & Simone Alfarano & Mishael Milaković & Enrico Scalas, 2015.
"
- Tijana Radivojevi\'c & Jonatha Anselmi & Enrico Scalas, 2013.
"
**Ergodic transition in a simple model of the continuous double auction**," Papers 1305.2716, arXiv.org. - 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. - Enrico Scalas & Mauro Politi, 2012.
"
**A parsimonious model for intraday European option pricing**," Papers 1202.4332, arXiv.org.- Scalas, Enrico & Politi, Mauro, 2012.
"
**A parsimonious model for intraday European option pricing**," Economics Discussion Papers 2012-14, Kiel Institute for the World Economy (IfW).

- Scalas, Enrico & Politi, Mauro, 2012.
"
- 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. - 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. - Enrico Scalas, 2011.
"
**A class of CTRWs: Compound fractional Poisson processes**," Papers 1103.0647, arXiv.org. - 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.- Livan, Giacomo & Alfarano, Simone & Scalas, Enrico, 2011.
"
**The fine structure of spectral properties for random correlation matrices: an application to financial markets**," MPRA Paper 28964, University Library of Munich, Germany.

- Livan, Giacomo & Alfarano, Simone & Scalas, Enrico, 2011.
"
- Mauro Politi & Taisei Kaizoji & Enrico Scalas, 2011.
"
**Full characterization of the fractional Poisson process**," Papers 1104.4234, arXiv.org. - 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. - 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. - 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. - Scalas, Enrico & Garibaldi, Ubaldo, 2008.
"
**A Note on Aoki-Yoshikawa Model**," Economics Discussion Papers 2008-38, Kiel Institute for the World Economy (IfW). - 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.- 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.

- Sazuka, Naoya & Inoue, Jun-ichi & Scalas, Enrico, 2009.
"
- 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. - 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. - Mauro Politi & Enrico Scalas, 2008.
"
**Activity spectrum from waiting-time distribution**," Papers 0801.3043, arXiv.org.- 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.

- Politi, Mauro & Scalas, Enrico, 2007.
"
- Bence Toth & Enrico Scalas, 2007.
"
**The value of information in financial markets: An agent-based simulation**," Papers 0712.2687, arXiv.org. - Scalas, Enrico & Kim, Kyungsik, 2006.
"
**The art of fitting financial time series with Levy stable distributions**," MPRA Paper 336, University Library of Munich, Germany.- Enrico Scalas & Kyungsik Kim, 2006.
"
**The art of fitting financial time series with Levy stable distributions**," Papers physics/0608224, arXiv.org.

- Enrico Scalas & Kyungsik Kim, 2006.
"
- 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.- 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.

- Eric Guerci & Enrico Scalas & Mauro Gallegati & David Mas & Alessandra Tedeschi, 2006.
"
**Growth and allocation of resources in economics: The agent-based approach**," Post-Print halshs-00871047, HAL.

- Scalas, Enrico & Gallegati, Mauro & Guerci, Eric & Mas, David & Tedeschi, Alessandra, 2006.
"
- Enrico Scalas, 2006.
"
**Mixtures of compound Poisson processes as models of tick-by-tick financial data**," Papers physics/0608217, arXiv.org. - 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.- 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;EDP Sciences, vol. 55(1), pages 115-120, 01.

- Bence Toth & Enrico Scalas & Juergen Huber & Michael Kirchler, 2006.
"
**The value of information in a multi-agent market model**," Papers physics/0610026, arXiv.org, revised Feb 2007.

- B. Tóth & E. Scalas & J. Huber & M. Kirchler, 2007.
"
- 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.- 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.

- Scalas, Enrico & Kaizoji, Taisei & Kirchler, Michael & Huber, Jürgen & Tedeschi, Alessandra, 2006.
"
- Mark M. Meerschaert & Enrico Scalas, 2006.
"
**Coupled continuous time random walks in finance**," Papers physics/0608281, arXiv.org.- 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.

- Meerschaert, Mark M. & Scalas, Enrico, 2006.
"
- Enrico Scalas, 2005.
"
**Basel II for Physicists: A Discussion Paper**," Papers cond-mat/0501320, arXiv.org. - 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.- 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.

- Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2003.
"
**Anomalous waiting times in high-frequency financial data**," Papers cond-mat/0310305, arXiv.org.

- Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2004.
"
- Enrico Scalas, 2005.
"
**Five Years of Continuous-time Random Walks in Econophysics**," Finance 0501005, EconWPA.- Enrico Scalas, 2005.
"
**Five Years of Continuous-time Random Walks in Econophysics**," Papers cond-mat/0501261, arXiv.org.

- Enrico Scalas, 2005.
"
- 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. - Marco Raberto & Enrico Scalas & Francesco Mainardi, 2004.
"
**Waiting-times and returns in high-frequency financial data: an empirical study**," Finance 0411014, EconWPA.- 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.

- M. Raberto & E. Scalas & F. Mainardi, 2002.
"
**Waiting-times and returns in high-frequency financial data: an empirical study**," Papers cond-mat/0203596, arXiv.org.

- Raberto, Marco & Scalas, Enrico & Mainardi, Francesco, 2002.
"
- Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2004.
"
**Fractional calculus and continuous-time finance**," Finance 0411007, EconWPA.- 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.

- Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2000.
"
**Fractional calculus and continuous-time finance**," Papers cond-mat/0001120, arXiv.org.

- Scalas, Enrico & Gorenflo, Rudolf & Mainardi, Francesco, 2000.
"
- Gianaurelio Cuniberti & Marco Raberto & Enrico Scalas, 2004.
"
**Correlations in the Bond–Future Market**," Finance 0411005, EconWPA.- 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.

- Gianaurelio Cuniberti & Marco Raberto & Enrico Scalas, 1999.
"
**Correlations in the Bond-Future Market**," Papers cond-mat/9903220, arXiv.org.

- Cuniberti, Gianaurelio & Raberto, Marco & Scalas, Enrico, 1999.
"
- Marco Raberto & Enrico Scalas & Gianaurelio Cuniberti & Massimo Riani, 2004.
"
**Volatility in the Italian Stock Market: An Empirical Study**," Finance 0411006, EconWPA.- 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.

- Marco Raberto & Enrico Scalas & Gianaurelio Cuniberti & Massimo Riani, 1999.
"
**Volatility in the Italian Stock Market: an Empirical Study**," Papers cond-mat/9903221, arXiv.org.

- Raberto, Marco & Scalas, Enrico & Cuniberti, Gianaurelio & Riani, Massimo, 1999.
"
- 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. - Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2004.
"
**Fractional calculus and continuous-time finance II: the waiting- time distribution**," Finance 0411008, EconWPA.- 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.

- Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2000.
"
**Fractional calculus and continuous-time finance II: the waiting-time distribution**," Papers cond-mat/0006454, arXiv.org, revised Nov 2000.

- Mainardi, Francesco & Raberto, Marco & Gorenflo, Rudolf & Scalas, Enrico, 2000.
"
- T. Di Matteo & M. Airoldi & E. Scalas, 2004.
"
**On pricing of interest rate derivatives**," Papers cond-mat/0401445, arXiv.org.- 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.

- Di Matteo, T. & Airoldi, M. & Scalas, E., 2004.
"
- 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. - Marco Raberto & Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2000.
"
**The waiting-time distribution of LIFFE bond futures**," Papers cond-mat/0012497, arXiv.org.

- 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. - 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;EDP Sciences, vol. 73(1), pages 13-22, January. - 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 (IfW), vol. 3, pages 1-10. - 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.- 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.

- Naoya Sazuka & Jun-ichi Inoue & Enrico Scalas, 2008.
"
- 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. - 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. - Politi, Mauro & Scalas, Enrico, 2009.
"
**From Renewal Theory to High-Frequency Finance**," European Journal of Economic and Social Systems, Lavoisier, vol. 22(1), pages 83-98. - 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. - Akira Namatame & Taisei Kaizoji & Enrico Scalas, 2008.
"
**Editorial**," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 3(1), pages 1-1, June. - 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. - 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. - 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. - 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. - 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;EDP Sciences, vol. 55(1), pages 115-120, 01.- 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. - Bence Toth & Enrico Scalas & Juergen Huber & Michael Kirchler, 2006.
"
**The value of information in a multi-agent market model**," Papers physics/0610026, arXiv.org, revised Feb 2007.

- Toth, Bence & Scalas, Enrico & Huber, Juergen & Kirchler, Michael, 2006.
"
- 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. - 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. - 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.- Mauro Politi & Enrico Scalas, 2008.
"
**Activity spectrum from waiting-time distribution**," Papers 0801.3043, arXiv.org.

- Mauro Politi & Enrico Scalas, 2008.
"
- 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;EDP Sciences, vol. 60(2), pages 241-246, November. - 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;EDP Sciences, vol. 60(2), pages 271-272, November.- E. Scalas & U. Garibaldi & S. Donadio, 2006.
"
**Statistical equilibrium in simple exchange games I**," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 53(2), pages 267-272, 09.

- E. Scalas & U. Garibaldi & S. Donadio, 2006.
"
- 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.- Eric Guerci & Enrico Scalas & Mauro Gallegati & David Mas & Alessandra Tedeschi, 2006.
"
**Growth and allocation of resources in economics: The agent-based approach**," Post-Print halshs-00871047, HAL. - 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.

- Eric Guerci & Enrico Scalas & Mauro Gallegati & David Mas & Alessandra Tedeschi, 2006.
"
- 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. - 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.- 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.

- Enrico Scalas & Taisei Kaizoji & Michael Kirchler & Juergen Huber & Alessandra Tedeschi, 2006.
"
- 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;Society for Economic Science with Heterogeneous Interacting Agents, vol. 1(1), pages 5-19, May. - 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.- Mark M. Meerschaert & Enrico Scalas, 2006.
"
**Coupled continuous time random walks in finance**," Papers physics/0608281, arXiv.org.

- Mark M. Meerschaert & Enrico Scalas, 2006.
"
- 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.- T. Di Matteo & M. Airoldi & E. Scalas, 2004.
"
**On pricing of interest rate derivatives**," Papers cond-mat/0401445, arXiv.org.

- T. Di Matteo & M. Airoldi & E. Scalas, 2004.
"
- 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.- 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. - Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2003.
"
**Anomalous waiting times in high-frequency financial data**," Papers cond-mat/0310305, arXiv.org.

- Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2005.
"
- 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.- Marco Raberto & Enrico Scalas & Francesco Mainardi, 2004.
"
**Waiting-times and returns in high-frequency financial data: an empirical study**," Finance 0411014, EconWPA. - M. Raberto & E. Scalas & F. Mainardi, 2002.
"
**Waiting-times and returns in high-frequency financial data: an empirical study**," Papers cond-mat/0203596, arXiv.org.

- Marco Raberto & Enrico Scalas & Francesco Mainardi, 2004.
"
- 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.- Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2004.
"
**Fractional calculus and continuous-time finance II: the waiting- time distribution**," Finance 0411008, EconWPA. - Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2000.
"
**Fractional calculus and continuous-time finance II: the waiting-time distribution**," Papers cond-mat/0006454, arXiv.org, revised Nov 2000.

- Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2004.
"
- 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.- Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2004.
"
**Fractional calculus and continuous-time finance**," Finance 0411007, EconWPA. - Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2000.
"
**Fractional calculus and continuous-time finance**," Papers cond-mat/0001120, arXiv.org.

- Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2004.
"
- 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.- Marco Raberto & Enrico Scalas & Gianaurelio Cuniberti & Massimo Riani, 2004.
"
**Volatility in the Italian Stock Market: An Empirical Study**," Finance 0411006, EconWPA. - Marco Raberto & Enrico Scalas & Gianaurelio Cuniberti & Massimo Riani, 1999.
"
**Volatility in the Italian Stock Market: an Empirical Study**," Papers cond-mat/9903221, arXiv.org.

- Marco Raberto & Enrico Scalas & Gianaurelio Cuniberti & Massimo Riani, 2004.
"
- 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. - 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.- Gianaurelio Cuniberti & Marco Raberto & Enrico Scalas, 1999.
"
**Correlations in the Bond-Future Market**," Papers cond-mat/9903220, arXiv.org. - Gianaurelio Cuniberti & Marco Raberto & Enrico Scalas, 2004.
"
**Correlations in the Bond–Future Market**," Finance 0411005, EconWPA.

- Gianaurelio Cuniberti & Marco Raberto & Enrico Scalas, 1999.
"
- Scalas, Enrico, 1998.
"
**Scaling in the market of futures**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 253(1), pages 394-402. - 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. - 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. - Gliozzi, A. & Levi, A.C. & Menessini, M. & Scalas, E., 1994.
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**Temperature and disequilibrium dependence of cluster growth**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 203(3), pages 347-358.

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 23 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-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 - NEP-ETS:
**Econometric Time Series**(5) 2004-11-22 2004-11-22 2005-01-16 2006-10-21 2012-12-10. Author is listed - NEP-ECM: Econometrics (3) 2006-10-21 2011-03-05 2012-12-10
- NEP-MST: Market Microstructure (2) 2012-02-20 2012-12-10
- NEP-RMG: Risk Management (2) 2005-01-16 2006-10-21
- NEP-CFN: Corporate Finance (1) 2006-10-21
- NEP-CMP: Computational Economics (1) 2006-10-21
- NEP-FMK: Financial Markets (1) 2006-10-21
- NEP-LAB: Labour Economics (1) 2009-07-11
- NEP-ORE: Operations Research (1) 2008-03-01

#### Most cited item

- Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2004.
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**Fractional calculus and continuous-time finance II: the waiting- time distribution**," Finance 0411008, EconWPA.

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

- Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2004.
"
**Fractional calculus and continuous-time finance**," Finance 0411007, EconWPA.

#### Access and download statistics for all items

#### Co-authorship network on CollEc

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