# 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. - 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. - 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. - 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

## Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Jaume Masoliver should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.