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Jaume Masoliver

Personal Details

First Name:Jaume
Middle Name:
Last Name:Masoliver
Suffix:
RePEc Short-ID:pma277
http://www.ub.edu/ffn/personal/jaume.php
Derpartament de Fisica Fonamental Universitat de Barcelona Diagonal, 647 08028 Barcelona Spain

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. J. Doyne Farmer & John Geanakoplos & Jaume Masoliver & Miquel Montero & Josep Perello, 2014. "Discounting the Distant Future," Cowles Foundation Discussion Papers 1951, Cowles Foundation for Research in Economics, Yale University.
  2. Jaume Masoliver & Miquel Montero & Josep Perell'o & John Geanakoplos & J. Doyne Farmer, 2013. "Uncertain growth and the value of the future," Papers 1311.4068, arXiv.org.
  3. Josep Perell'o & Mario Guti'errez-Roig & Jaume Masoliver, 2011. "Scaling properties and universality of first-passage time probabilities in financial markets," Papers 1107.1174, arXiv.org, revised Sep 2011.
  4. Jaume Masoliver & Josep Perello, 2009. "First-passage and risk evaluation under stochastic volatility," Papers 0902.2735, arXiv.org.
  5. Jaume Masoliver & Josep Perello, 2008. "The escape problem under stochastic volatility: the Heston model," Papers 0807.1014, arXiv.org.
  6. 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.
  7. 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.
  8. 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.
  9. Jaume Masoliver & Josep Perello, 2006. "Extreme times for volatility processes," Papers physics/0609136, arXiv.org, revised May 2007.
  10. Miquel Montero & Jaume Masoliver, 2006. "Mean Exit Time and Survival Probability within the CTRW Formalism," Papers physics/0607268, arXiv.org, revised Oct 2006.
  11. Zoltan Eisler & Josep Perello & Jaume Masoliver, 2006. "Volatility: a hidden Markov process in financial time series," Papers physics/0612084, arXiv.org, revised Jul 2007.
  12. 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.
  13. Jaume Masoliver & Josep Perello, 2005. "Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model," Papers cond-mat/0501639, 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. Jaume Masoliver & Miquel Montero & George H. Weiss, 2002. "A continuous time random walk model for financial distributions," Papers cond-mat/0210513, arXiv.org.
  20. Josep Perello & Jaume Masoliver, 2002. "Stochastic volatility and leverage effect," Papers cond-mat/0202203, arXiv.org.
  21. Jaume Masoliver & Miquel Montero & Josep Perello, 2001. "Return or stock price differences," Papers cond-mat/0111529, arXiv.org.
  22. 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.
  23. Jaume Masoliver & Miquel Montero & Josep M. Porra, 2000. "A dynamical model describing stock market price distributions," Papers cond-mat/0003357, arXiv.org.
  24. 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. Jaume Masoliver & Katja Lindenberg, 2017. "Continuous time persistent random walk: a review and some generalizations," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 90(6), pages 1-13, June.
  2. A. Kasprzak & R. Kutner & J. Perelló & J. Masoliver, 2010. "Higher-order phase transitions on financial markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 76(4), pages 513-527, August.
  3. Masoliver, Jaume & Montero, Miquel & Perelló, Josep & Weiss, George H., 2007. "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.
  4. M. Montero & J. Masoliver, 2007. "Mean exit time and survival probability within the CTRW formalism," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 57(2), pages 181-185, May.
  5. Jaume Masoliver & Josep Perello, 2006. "Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 6(5), pages 423-433.
  6. 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.
  7. Palatella, Luigi & Perelló, Josep & Montero, Miquel & Masoliver, Jaume, 2005. "Diffusion Entropy technique applied to the study of the market activity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 131-137.
  8. M. Boguñá & J. Masoliver, 2004. "Conditional dynamics driving financial markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 40(3), pages 347-352, August.
  9. 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.
  10. Perelló, Josep & Masoliver, Jaume & Anento, Napoleón, 2004. "A comparison between several correlated stochastic volatility models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 134-137.
  11. Perelló, Josep & Masoliver, Jaume, 2003. "Option pricing and perfect hedging on correlated stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 330(3), pages 622-652.
  12. Perelló, Josep & Masoliver, Jaume, 2002. "Fat tails and colored noise in financial derivatives," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 314(1), pages 736-742.
  13. Perelló, Josep & Masoliver, Jaume, 2002. "The effect of non-ideal market conditions on option pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 308(1), pages 420-442.
  14. Montero, Miquel & Perelló, Josep & Masoliver, Jaume, 2002. "Return or stock price differences," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 539-560.
  15. Boguñá, Marian & Masoliver, Jaume & Weiss, George H., 2001. "A discrete formulation of the theory of sojourn times in a two-state system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 289(3), pages 307-320.
  16. Weiss, George H. & Masoliver, Jaume, 2001. "Statistics of dwell times in a reaction with randomly fluctuating rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 296(1), pages 75-82.
  17. Boguñá, Marián & Masoliver, Jaume & Weiss, George H., 2000. "The asymptotic form of the probability density of sojourn times in randomly changing multistate systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 284(1), pages 13-22.
  18. Masoliver, Jaume & Montero, Miquel & Porrà, Josep M, 2000. "A dynamical model describing stock market price distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 559-567.
  19. Perelló, J & Porrà, J.M & Montero, M & Masoliver, J, 2000. "Black–Scholes option pricing within Itô and Stratonovich conventions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 278(1), pages 260-274.
  20. Boguñá, Marián & Porrà, Josep M. & Masoliver, Jaume & Weiss, George H., 1996. "Isotropization time for non-Markovian CTRWs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 230(1), pages 149-155.
  21. Wang, Ke-Gang & Masoliver, Jaume, 1996. "Linear oscillators driven by Gaussian colored noise: crossovers and probability distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 231(4), pages 615-630.
  22. Porrà, Josep M. & Weiss, George H. & Masoliver, Jaume, 1995. "A diffusion model incorporating anisotropic properties," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 218(1), pages 229-236.
  23. Masoliver, Jaume & Weiss, George H., 1993. "On the maximum displacement of a one-dimensional diffusion process described by the telegrapher's equation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 195(1), pages 93-100.
  24. Masoliver, Jaume & Weiss, George H., 1992. "First passage times for a generalized telegrapher's equation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 183(4), pages 537-548.
  25. Weiss, George H. & Masoliver, Jaume, 1991. "Nearest trap-particle distances in a one-dimensional CTRW model with a mobile trap," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 174(2), pages 209-213.
  26. Masoliver, Jaume & Lindenberg, Katja & Weiss, George H., 1989. "A continuous-time generalization of the persistent random walk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 157(2), pages 891-898.
  27. Masoliver, Jaume & Weiss, George H., 1988. "First passage time statistics for some stochastic processes with superimposed shot noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 149(3), pages 395-405.

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.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. J. Doyne Farmer & John Geanakoplos & Jaume Masoliver & Miquel Montero & Josep Perello, 2014. "Discounting the Distant Future," Cowles Foundation Discussion Papers 1951, Cowles Foundation for Research in Economics, Yale University.

    Mentioned in:

    1. How much is our distant future worth?
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2014-08-11 17:10:42

Working papers

  1. J. Doyne Farmer & John Geanakoplos & Jaume Masoliver & Miquel Montero & Josep Perello, 2014. "Discounting the Distant Future," Cowles Foundation Discussion Papers 1951, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Gollier, Christian, 2016. "Gamma discounters are short-termist," Journal of Public Economics, Elsevier, vol. 142(C), pages 83-90.
    2. Katz, Yuri A., 2017. "Value of the distant future: Model-independent results," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 269-276.

  2. Jaume Masoliver & Miquel Montero & Josep Perell'o & John Geanakoplos & J. Doyne Farmer, 2013. "Uncertain growth and the value of the future," Papers 1311.4068, arXiv.org.

    Cited by:

    1. Rob Aalbers & Marjon Ruijter & Kees Oosterlee, 2014. "The social discount rate under a stochastic A2 scenario," CPB Discussion Paper 296, CPB Netherlands Bureau for Economic Policy Analysis.

  3. Josep Perell'o & Mario Guti'errez-Roig & Jaume Masoliver, 2011. "Scaling properties and universality of first-passage time probabilities in financial markets," Papers 1107.1174, arXiv.org, revised Sep 2011.

    Cited by:

    1. Liu, Chenggong & Shang, Pengjian & Feng, Guochen, 2017. "The high order dispersion analysis based on first-passage-time probability in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 1-9.

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

    Cited by:

    1. Zhong, Guang-Yan & Li, Jiang-Cheng & Jiang, George J. & Li, Hai-Feng & Tao, Hui-Ming, 2018. "The time delay restraining the herd behavior with Bayesian approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 335-346.
    2. 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.
    3. Ko, Bonggyun & Song, Jae Wook, 2018. "A simple analytics framework for evaluating mean escape time in different term structures with stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 398-412.

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

    Cited by:

    1. Zhong, Guang-Yan & Li, Jiang-Cheng & Jiang, George J. & Li, Hai-Feng & Tao, Hui-Ming, 2018. "The time delay restraining the herd behavior with Bayesian approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 335-346.
    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.
    3. 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.
    4. Ko, Bonggyun & Song, Jae Wook, 2018. "A simple analytics framework for evaluating mean escape time in different term structures with stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 398-412.

  6. 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, Sciendo, vol. 14(2), pages 101-113, December.
    3. Jaros{l}aw Klamut & Tomasz Gubiec, 2018. "Directed Continuous-Time Random Walk with memory," Papers 1807.01934, arXiv.org.

  7. 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. Nils Bertschinger & Oliver Pfante, 2015. "Inferring Volatility in the Heston Model and its Relatives -- an Information Theoretical Approach," Papers 1512.08381, arXiv.org.
    2. Frontczak, Robert & Rostek, Stefan, 2015. "Modeling loss given default with stochastic collateral," Economic Modelling, Elsevier, vol. 44(C), pages 162-170.
    3. 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.
    4. 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. Oliver Pfante & Nils Bertschinger, 2016. "Uncertainty Estimates in the Heston Model via Fisher Information," Papers 1610.04760, arXiv.org, revised Oct 2016.
    6. 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.
    7. 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.
    8. Oliver Pfante & Nils Bertschinger, 2016. "Volatility Inference and Return Dependencies in Stochastic Volatility Models," Papers 1610.00312, arXiv.org.

  8. 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.

  9. Miquel Montero & Jaume Masoliver, 2006. "Mean Exit Time and Survival Probability within the CTRW Formalism," Papers physics/0607268, arXiv.org, revised Oct 2006.

    Cited by:

    1. Takero Ibuki & Jun-ichi Inoue, 2011. "Response of double-auction markets to instantaneous Selling–Buying signals with stochastic Bid–Ask spread," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 6(2), pages 93-120, November.

  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.

    Cited by:

    1. Cyrille Dubarry & Randal Douc, 2014. "Calibrating the exponential Ornstein--Uhlenbeck multiscale stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 14(3), pages 443-456, March.

  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.

    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.

  12. 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. 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.
    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. 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.
    4. Cyrille Dubarry & Randal Douc, 2014. "Calibrating the exponential Ornstein--Uhlenbeck multiscale stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 14(3), pages 443-456, March.
    5. 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.
    6. 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.
    7. 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.
    8. 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.

  13. 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.

  14. 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.
    3. Jaros{l}aw Klamut & Tomasz Gubiec, 2018. "Directed Continuous-Time Random Walk with memory," Papers 1807.01934, arXiv.org.

  15. 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. Matthew Lorig, 2010. "Time-Changed Fast Mean-Reverting Stochastic Volatility Models," Papers 1010.5203, arXiv.org, revised Apr 2012.
    2. Zhiyuan Liu & M. Dashti Moghaddam & R. A. Serota, 2017. "Distributions of Historic Market Data - Stock Returns," Papers 1711.11003, arXiv.org, revised Dec 2017.
    3. 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.
    4. M. Dashti Moghaddam & Zhiyuan Liu & R. A. Serota, 2018. "Distributions of Historic Market Data -- Implied and Realized Volatility," Papers 1804.05279, arXiv.org.
    5. 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.
    6. Oriol Pont & Antonio Turiel & Conrad Perez-Vicente, 2009. "Description, modelling and forecasting of data with optimal wavelets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 4(1), pages 39-54, June.
    7. 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.
    8. 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.
    9. 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.
    10. 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.
    11. Danilo Delpini & Giacomo Bormetti, 2012. "Stochastic Volatility with Heterogeneous Time Scales," Papers 1206.0026, arXiv.org, revised Apr 2013.
    12. L. Borland & J. -Ph. Bouchaud, 2005. "On a multi-timescale statistical feedback model for volatility fluctuations," Papers physics/0507073, arXiv.org.
    13. 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.
    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.

  16. Jaume Masoliver & Miquel Montero & George H. Weiss, 2002. "A continuous time random walk model for financial distributions," Papers cond-mat/0210513, arXiv.org.

    Cited by:

    1. 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.
    2. 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.
    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. James Primbs & Muruhan Rathinam, 2009. "Trader Behavior and its Effect on Asset Price Dynamics," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(2), pages 151-181.
    5. Enrico Scalas, 2005. "Five Years of Continuous-time Random Walks in Econophysics," Papers cond-mat/0501261, arXiv.org.
    6. 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.
    7. 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.
    8. Javier Villarroel & Miquel Montero, 2008. "On properties of Continuous-Time Random Walks with Non-Poissonian jump-times," Papers 0812.2148, arXiv.org.
    9. Gubiec, T. & Wiliński, M., 2015. "Intra-day variability of the stock market activity versus stationarity of the financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 432(C), pages 216-221.
    10. 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.
    11. Jaros{l}aw Klamut & Tomasz Gubiec, 2018. "Directed Continuous-Time Random Walk with memory," Papers 1807.01934, arXiv.org.
    12. 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.
    13. Guo, Gang & Chen, Bin & Zhao, Xinjun & Zhao, Fang & Wang, Quanmin, 2015. "First passage time distribution of a modified fractional diffusion equation in the semi-infinite interval," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 433(C), pages 279-290.

  17. Jaume Masoliver & Miquel Montero & Josep M. Porra, 2000. "A dynamical model describing stock market price distributions," Papers cond-mat/0003357, arXiv.org.

    Cited by:

    1. Collan, Mikael, 2004. "Giga-Investments: Modelling the Valuation of Very Large Industrial Real Investments," MPRA Paper 4328, University Library of Munich, Germany.
    2. Zhuang, Xin-tian & Huang, Xiao-yuan & Sha, Yan-li, 2004. "Research on the fractal structure in the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 333(C), pages 293-305.

  18. 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. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. Jaros{l}aw Klamut & Tomasz Gubiec, 2018. "Directed Continuous-Time Random Walk with memory," Papers 1807.01934, arXiv.org.
    7. Ni, Xiao-Hui & Jiang, Zhi-Qiang & Gu, Gao-Feng & Ren, Fei & Chen, Wei & Zhou, Wei-Xing, 2010. "Scaling and memory in the non-Poisson process of limit order cancelation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2751-2761.

Articles

  1. Jaume Masoliver & Katja Lindenberg, 2017. "Continuous time persistent random walk: a review and some generalizations," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 90(6), pages 1-13, June.

    Cited by:

    1. Kolesnik, Alexander D., 2018. "Slow diffusion by Markov random flights," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 186-197.

  2. A. Kasprzak & R. Kutner & J. Perelló & J. Masoliver, 2010. "Higher-order phase transitions on financial markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 76(4), pages 513-527, August.

    Cited by:

    1. Bełej Mirosław & Kulesza Sławomir, 2014. "The Influence Of Financing On The Dynamics Of Housing Prices," Folia Oeconomica Stetinensia, Sciendo, vol. 14(2), pages 101-113, December.
    2. Rodriguez-Romo, Suemi & Sosa-Herrera, Antonio, 2013. "Lacunarity and multifractal analysis of the large DLA mass distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(16), pages 3316-3328.
    3. Jaros{l}aw Klamut & Tomasz Gubiec, 2018. "Directed Continuous-Time Random Walk with memory," Papers 1807.01934, arXiv.org.

  3. Masoliver, Jaume & Montero, Miquel & Perelló, Josep & Weiss, George H., 2007. "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.
    See citations under working paper version above.
  4. M. Montero & J. Masoliver, 2007. "Mean exit time and survival probability within the CTRW formalism," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 57(2), pages 181-185, May.
    See citations under working paper version above.
  5. Jaume Masoliver & Josep Perello, 2006. "Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 6(5), pages 423-433.
    See citations under working paper version above.
  6. 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.
  7. Palatella, Luigi & Perelló, Josep & Montero, Miquel & Masoliver, Jaume, 2005. "Diffusion Entropy technique applied to the study of the market activity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 131-137.

    Cited by:

    1. Palatella, Luigi, 2010. "A reflexive toy-model for financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(2), pages 315-322.

  8. M. Boguñá & J. Masoliver, 2004. "Conditional dynamics driving financial markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 40(3), pages 347-352, August.

    Cited by:

    1. 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.

  9. 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.
  10. Perelló, Josep & Masoliver, Jaume & Anento, Napoleón, 2004. "A comparison between several correlated stochastic volatility models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 134-137.
    See citations under working paper version above.
  11. Perelló, Josep & Masoliver, Jaume, 2003. "Option pricing and perfect hedging on correlated stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 330(3), pages 622-652.

    Cited by:

    1. Piotrowski, Edward W. & Schroeder, Małgorzata & Zambrzycka, Anna, 2006. "Quantum extension of European option pricing based on the Ornstein–Uhlenbeck process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 368(1), pages 176-182.

  12. Perelló, Josep & Masoliver, Jaume, 2002. "Fat tails and colored noise in financial derivatives," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 314(1), pages 736-742.

    Cited by:

    1. Collan, Mikael, 2004. "Giga-Investments: Modelling the Valuation of Very Large Industrial Real Investments," MPRA Paper 4328, University Library of Munich, Germany.

  13. Masoliver, Jaume & Montero, Miquel & Porrà, Josep M, 2000. "A dynamical model describing stock market price distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 559-567.
    See citations under working paper version above.
  14. Wang, Ke-Gang & Masoliver, Jaume, 1996. "Linear oscillators driven by Gaussian colored noise: crossovers and probability distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 231(4), pages 615-630.

    Cited by:

    1. Bashkirtseva, Irina, 2018. "Stochastic sensitivity of systems driven by colored noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 729-736.

  15. Masoliver, Jaume & Weiss, George H., 1992. "First passage times for a generalized telegrapher's equation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 183(4), pages 537-548.

    Cited by:

    1. Filliger, Roger & Hongler, Max-Olivier, 2004. "Supersymmetry in random two-velocity processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 332(C), pages 141-150.

  16. Masoliver, Jaume & Lindenberg, Katja & Weiss, George H., 1989. "A continuous-time generalization of the persistent random walk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 157(2), pages 891-898.

    Cited by:

    1. R. Filliger & M.-O. Hongler & L. Streit, 2008. "Connection between an Exactly Solvable Stochastic Optimal Control Problem and a Nonlinear Reaction-Diffusion Equation," Journal of Optimization Theory and Applications, Springer, vol. 137(3), pages 497-505, June.

More information

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Statistics

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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 8 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-RMG: Risk Management (3) 2004-01-25 2009-09-26 2011-07-13
  2. NEP-ETS: Econometric Time Series (2) 2004-01-25 2005-02-13
  3. NEP-FIN: Finance (2) 2004-01-25 2005-02-13
  4. NEP-FMK: Financial Markets (1) 2005-02-13
  5. NEP-HIS: Business, Economic & Financial History (1) 2014-07-21
  6. NEP-UPT: Utility Models & Prospect Theory (1) 2009-09-26

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