# 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, Spainhttp://web.ffn.ub.es/node/6&id=1059

:

RePEc:edi:gefubes (more details at EDIRC)

## Research output

Jump to: Working papers Articles### Working papers

- 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. - 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.- Jaume Masoliver & Miquel Montero & Josep Perello & John Geanakoplos, 2013.
"
**Uncertain Growth and the Value of the Future**," Cowles Foundation Discussion Papers 1930, Cowles Foundation for Research in Economics, Yale University.

- Jaume Masoliver & Miquel Montero & Josep Perello & John Geanakoplos, 2013.
"
- 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. - Jaume Masoliver & Josep Perello, 2009.
"
**First-passage and risk evaluation under stochastic volatility**," Papers 0902.2735, arXiv.org. - Jaume Masoliver & Josep Perello, 2008.
"
**The escape problem under stochastic volatility: the Heston model**," Papers 0807.1014, arXiv.org. - 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. - 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. - 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. - Jaume Masoliver & Josep Perello, 2006.
"
**Extreme times for volatility processes**," Papers physics/0609136, arXiv.org, revised May 2007. - Miquel Montero & Jaume Masoliver, 2006.
"
**Mean Exit Time and Survival Probability within the CTRW Formalism**," Papers physics/0607268, arXiv.org, revised Oct 2006.- 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.

- M. Montero & J. Masoliver, 2007.
"
- Zoltan Eisler & Josep Perello & Jaume Masoliver, 2006.
"
**Volatility: a hidden Markov process in financial time series**," Papers physics/0612084, arXiv.org, revised Jul 2007. - 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. - Jaume Masoliver & Josep Perello, 2005.
"
**Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model**," Papers cond-mat/0501639, arXiv.org.- 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.

- Jaume Masoliver & Josep Perello, 2006.
"
- Jaume Masoliver & Miquel Montero & Josep Perello, 2004.
"
**Extreme times in financial markets**," Papers cond-mat/0406556, arXiv.org. - Josep Perello & Jaume Masoliver & Napoleon Anento, 2003.
"
**A comparison between several correlated stochastic volatility models**," Papers cond-mat/0312121, arXiv.org.- 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.

- Perelló, Josep & Masoliver, Jaume & Anento, Napoleón, 2004.
"
- 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.- 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.

- Masoliver, Jaume & Montero, Miquel & Perelló, Josep & Weiss, George H., 2007.
"
- 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. - 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, 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 correlations: An stochastic volatility model**," Papers cond-mat/0302095, arXiv.org.

- Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2004.
"
- Jaume Masoliver & Miquel Montero & George H. Weiss, 2002.
"
**A continuous time random walk model for financial distributions**," Papers cond-mat/0210513, arXiv.org. - Josep Perello & Jaume Masoliver, 2002.
"
**Stochastic volatility and leverage effect**," Papers cond-mat/0202203, arXiv.org. - Jaume Masoliver & Miquel Montero & Josep Perello, 2001.
"
**Return or stock price differences**," Papers cond-mat/0111529, arXiv.org.- 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.

- Montero, Miquel & Perelló, Josep & Masoliver, Jaume, 2002.
"
- 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.- 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.

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

- Masoliver, Jaume & Montero, Miquel & Porrà, Josep M, 2000.
"
- 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.- 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.

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

### Articles

- 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. - 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. - 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.- 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.

- Jaume Masoliver & Miquel Montero & Josep Perello & George H. Weiss, 2003.
"
- 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.- Miquel Montero & Jaume Masoliver, 2006.
"
**Mean Exit Time and Survival Probability within the CTRW Formalism**," Papers physics/0607268, arXiv.org, revised Oct 2006.

- Miquel Montero & Jaume Masoliver, 2006.
"
- 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.- Jaume Masoliver & Josep Perello, 2005.
"
**Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model**," Papers cond-mat/0501639, arXiv.org.

- Jaume Masoliver & Josep Perello, 2005.
"
- 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, "undated".
"
**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.
"
- 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. - 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. - 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 correlations: An stochastic volatility model**," Papers cond-mat/0302095, arXiv.org. - 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.
"
- 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.- Josep Perello & Jaume Masoliver & Napoleon Anento, 2003.
"
**A comparison between several correlated stochastic volatility models**," Papers cond-mat/0312121, arXiv.org.

- Josep Perello & Jaume Masoliver & Napoleon Anento, 2003.
"
- 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. - 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. - 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. - 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.- Jaume Masoliver & Miquel Montero & Josep Perello, 2001.
"
**Return or stock price differences**," Papers cond-mat/0111529, arXiv.org.

- Jaume Masoliver & Miquel Montero & Josep Perello, 2001.
"
- 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. - 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. - 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. - 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.- Jaume Masoliver & Miquel Montero & Josep M. Porra, 2000.
"
**A dynamical model describing stock market price distributions**," Papers cond-mat/0003357, arXiv.org.

- Jaume Masoliver & Miquel Montero & Josep M. Porra, 2000.
"
- 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.- 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.

- J. Perello & J. M. Porra & M. Montero & J. Masoliver, 2000.
"
- 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. - 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. - 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. - 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. - 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. - 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. - 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. - 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:- 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:

- 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

- How much is our distant future worth?

### Working papers

- 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:

- Gollier, Christian, 2016.
"
**Gamma discounters are short-termist**," Journal of Public Economics, Elsevier, vol. 142(C), pages 83-90.- Gollier, Christian, 2014.
"
**Gamma discounters are short-termist**," IDEI Working Papers 828, Institut d'Économie Industrielle (IDEI), Toulouse, revised Oct 2014. - Gollier, Christian, 2014.
"
**Gamma discounters are short-termist**," TSE Working Papers 14-499, Toulouse School of Economics (TSE), revised Oct 2014.

- Gollier, Christian, 2014.
"
- 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.

- Gollier, Christian, 2016.
"
- 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.- Jaume Masoliver & Miquel Montero & Josep Perello & John Geanakoplos, 2013.
"
**Uncertain Growth and the Value of the Future**," Cowles Foundation Discussion Papers 1930, Cowles Foundation for Research in Economics, Yale University.

Cited by:

- 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.

- Jaume Masoliver & Miquel Montero & Josep Perello & John Geanakoplos, 2013.
"
- 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:

- 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.

- Liu, Chenggong & Shang, Pengjian & Feng, Guochen, 2017.
"
- Jaume Masoliver & Josep Perello, 2009.
"
**First-passage and risk evaluation under stochastic volatility**," Papers 0902.2735, arXiv.org.Cited by:

- 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. - 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. - 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.

- Zhong, Guang-Yan & Li, Jiang-Cheng & Jiang, George J. & Li, Hai-Feng & Tao, Hui-Ming, 2018.
"
- Jaume Masoliver & Josep Perello, 2008.
"
**The escape problem under stochastic volatility: the Heston model**," Papers 0807.1014, arXiv.org.Cited by:

- 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. - 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. - 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. - 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.

- Zhong, Guang-Yan & Li, Jiang-Cheng & Jiang, George J. & Li, Hai-Feng & Tao, Hui-Ming, 2018.
"
- 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:

- 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. - Stanis{l}aw Dro.zd.z & Rafa{l} Kowalski & Pawe{l} O'swic{e}cimka & Rafa{l} Rak & Robert Gc{e}barowski, 2018.
"
**Dynamical variety of shapes in financial multifractality**," Papers 1809.06728, arXiv.org. - 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. - Jaros{l}aw Klamut & Tomasz Gubiec, 2018.
"
**Directed Continuous-Time Random Walk with memory**," Papers 1807.01934, arXiv.org.

- Lubashevsky, Ihor & Friedrich, Rudolf & Heuer, Andreas & Ushakov, Andrey, 2009.
"
- 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:

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

- Nils Bertschinger & Oliver Pfante, 2015.
"
- 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:

- 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. - 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. - 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. - 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. - 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.

- Erzgräber, Hartmut & Strozzi, Fernanda & Zaldívar, José-Manuel & Touchette, Hugo & Gutiérrez, Eugénio & Arrowsmith, David K., 2008.
"
- Miquel Montero & Jaume Masoliver, 2006.
"
**Mean Exit Time and Survival Probability within the CTRW Formalism**," Papers physics/0607268, arXiv.org, revised Oct 2006.- 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.

Cited by:

- 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.

- M. Montero & J. Masoliver, 2007.
"
- 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:

- 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.

- Cyrille Dubarry & Randal Douc, 2014.
"
- 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:

- 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.- Zoltan Eisler & Janos Kertesz & Fabrizio Lillo & Rosario N. Mantegna, 2007.
"
**Diffusive behavior and the modeling of characteristic times in limit order executions**," Papers physics/0701335, arXiv.org, revised Dec 2008.

- Zoltan Eisler & Janos Kertesz & Fabrizio Lillo & Rosario N. Mantegna, 2007.
"
- Bernardo Spagnolo & Davide Valenti, 2008.
"
**Volatility Effects on the Escape Time in Financial Market Models**," Papers 0810.1625, arXiv.org.

- Zoltan Eisler & Janos Kertesz & Fabrizio Lillo & Rosario Mantegna, 2009.
"
- Jaume Masoliver & Josep Perello, 2005.
"
**Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model**," Papers cond-mat/0501639, arXiv.org.- 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.

Cited by:

- 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. - Nils Bertschinger & Oliver Pfante, 2015.
"
**Inferring Volatility in the Heston Model and its Relatives -- an Information Theoretical Approach**," Papers 1512.08381, arXiv.org. - 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. - 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. - 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. - 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. - 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. - 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.

- Jaume Masoliver & Josep Perello, 2006.
"
- Josep Perello & Jaume Masoliver & Napoleon Anento, 2003.
"
**A comparison between several correlated stochastic volatility models**," Papers cond-mat/0312121, arXiv.org.- 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.

Cited by:

- 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. - 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. - 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. - Zoltan Eisler & Janos Kertesz, 2004.
"
**Multifractal model of asset returns with leverage effect**," Papers cond-mat/0403767, arXiv.org, revised May 2004. - 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.

- Perelló, Josep & Masoliver, Jaume & Anento, Napoleón, 2004.
"
- 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.- 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.

Cited by:

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

- Masoliver, Jaume & Montero, Miquel & Perelló, Josep & Weiss, George H., 2007.
"
- 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, 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 correlations: An stochastic volatility model**," Papers cond-mat/0302095, arXiv.org.

Cited by:

- Matthew Lorig, 2010.
"
**Time-Changed Fast Mean-Reverting Stochastic Volatility Models**," Papers 1010.5203, arXiv.org, revised Apr 2012. - Zhiyuan Liu & M. Dashti Moghaddam & R. A. Serota, 2017.
"
**Distributions of Historic Market Data - Stock Returns**," Papers 1711.11003, arXiv.org, revised Dec 2017. - 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.- Griffin, J.E. & Steel, M.F.J., 2010.
"
**Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes**," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2594-2608, November.

- Griffin, J.E. & Steel, M.F.J., 2010.
"
- M. Dashti Moghaddam & Zhiyuan Liu & R. A. Serota, 2018.
"
**Distributions of Historic Market Data -- Implied and Realized Volatility**," Papers 1804.05279, arXiv.org. - 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. - D. Delpini & G. Bormetti, 2015.
"
**Stochastic volatility with heterogeneous time scales**," Quantitative Finance, Taylor & Francis Journals, vol. 15(10), pages 1597-1608, October. - 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. - 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. - 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. - 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. - 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.- Jaume Masoliver & Josep Perello, 2005.
"
**Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model**," Papers cond-mat/0501639, arXiv.org.

- Jaume Masoliver & Josep Perello, 2005.
"
- 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. - Danilo Delpini & Giacomo Bormetti, 2012.
"
**Stochastic Volatility with Heterogeneous Time Scales**," Papers 1206.0026, arXiv.org, revised Apr 2013. - L. Borland & J. -Ph. Bouchaud, 2005.
"
**On a multi-timescale statistical feedback model for volatility fluctuations**," Papers physics/0507073, arXiv.org. - 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. - 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. - 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.

- Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2004.
"
- 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:

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

- Enrico Scalas, 2005.
"
- 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. - 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, "undated".
"
**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.
"
- Javier Villarroel & Miquel Montero, 2008.
"
**On properties of Continuous-Time Random Walks with Non-Poissonian jump-times**," Papers 0812.2148, arXiv.org. - 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. - 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. - Jaros{l}aw Klamut & Tomasz Gubiec, 2018.
"
**Directed Continuous-Time Random Walk with memory**," Papers 1807.01934, arXiv.org. - 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. - 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.

- Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2003.
"
- Jaume Masoliver & Miquel Montero & Josep M. Porra, 2000.
"
**A dynamical model describing stock market price distributions**," Papers cond-mat/0003357, arXiv.org.- 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.

Cited by:

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

- Masoliver, Jaume & Montero, Miquel & Porrà, Josep M, 2000.
"
- 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.- 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.

Cited by:

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

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

### Articles

- 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:

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

- Kolesnik, Alexander D., 2018.
"
- 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:

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

- Bełej Mirosław & Kulesza Sławomir, 2014.
"
- 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.- 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.

- Jaume Masoliver & Miquel Montero & Josep Perello & George H. Weiss, 2003.
"
- 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.- Miquel Montero & Jaume Masoliver, 2006.
"
**Mean Exit Time and Survival Probability within the CTRW Formalism**," Papers physics/0607268, arXiv.org, revised Oct 2006.

- Miquel Montero & Jaume Masoliver, 2006.
"
- 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.- Jaume Masoliver & Josep Perello, 2005.
"
**Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model**," Papers cond-mat/0501639, arXiv.org.

- Jaume Masoliver & Josep Perello, 2005.
"
- 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.- 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, "undated".
"
**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.
"
- 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:

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

- Palatella, Luigi, 2010.
"
- 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:

- 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.

- Chicheportiche, Rémy & Chakraborti, Anirban, 2017.
"
- 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.- 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.
"
**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.
"
- 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.- Josep Perello & Jaume Masoliver & Napoleon Anento, 2003.
"
**A comparison between several correlated stochastic volatility models**," Papers cond-mat/0312121, arXiv.org.

- Josep Perello & Jaume Masoliver & Napoleon Anento, 2003.
"
- 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:

- 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.

- Piotrowski, Edward W. & Schroeder, Małgorzata & Zambrzycka, Anna, 2006.
"
- 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:

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

- Collan, Mikael, 2004.
"
- 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.- Jaume Masoliver & Miquel Montero & Josep M. Porra, 2000.
"
**A dynamical model describing stock market price distributions**," Papers cond-mat/0003357, arXiv.org.

- Jaume Masoliver & Miquel Montero & Josep M. Porra, 2000.
"
- 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:

- 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.

- Bashkirtseva, Irina, 2018.
"
- 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:

- 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.

- Filliger, Roger & Hongler, Max-Olivier, 2004.
"
- 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:

- 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.

- R. Filliger & M.-O. Hongler & L. Streit, 2008.
"

## More information

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

#### Access and download statistics for all items

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

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