Anomalous waiting times in high-frequency financial data
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- Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2004. "Anomalous waiting times in high-frequency financial data," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 695-702.
- Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2003. "Anomalous waiting times in high-frequency financial data," Papers cond-mat/0310305, arXiv.org.
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- Yong-Ping Ruan & Wei-Xing Zhou, 2010. "Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant," Papers 1008.0160, arXiv.org.
- 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.
- Scalas, Enrico & Kaizoji, Taisei & Kirchler, Michael & Huber, Jürgen & Tedeschi, Alessandra, 2006.
"Waiting times between orders and trades in double-auction markets,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 463-471.
- Enrico Scalas & Taisei Kaizoji & Michael Kirchler & Juergen Huber & Alessandra Tedeschi, 2006. "Waiting times between orders and trades in double-auction markets," Papers physics/0608273, arXiv.org.
- Politi, Mauro & Scalas, Enrico, 2007.
"Activity spectrum from waiting-time distribution,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 43-48.
- Mauro Politi & Enrico Scalas, 2008. "Activity spectrum from waiting-time distribution," Papers 0801.3043, arXiv.org.
- Scalas, Enrico, 2007.
"Mixtures of compound Poisson processes as models of tick-by-tick financial data,"
Chaos, Solitons & Fractals, Elsevier, vol. 34(1), pages 33-40.
- Enrico Scalas, 2006. "Mixtures of compound Poisson processes as models of tick-by-tick financial data," Papers physics/0608217, arXiv.org.
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Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 111-123, January.
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- Jiang, Zhi-Qiang & Chen, Wei & Zhou, Wei-Xing, 2009.
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- Zhi-Qiang Jiang & Wei Chen & Wei-Xing Zhou, 2008. "Detrended fluctuation analysis of intertrade durations," Papers 0806.2444, arXiv.org.
- Enrico Scalas, 2006.
"Five Years of Continuous-time Random Walks in Econophysics,"
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- Enrico Scalas, 2005. "Five Years of Continuous-time Random Walks in Econophysics," Finance 0501005, University Library of Munich, Germany.
- Enrico Scalas, 2005. "Five Years of Continuous-time Random Walks in Econophysics," Papers cond-mat/0501261, arXiv.org.
- Vasily E. Tarasov, 2019. "On History of Mathematical Economics: Application of Fractional Calculus," Mathematics, MDPI, vol. 7(6), pages 1-28, June.
- Kaizoji, Taisei & Kaizoji, Michiyo, 2004.
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Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 336(3), pages 563-570.
- Taisei Kaizoji & Michiyo Kaizoji, 2003. "Power law for the calm-time interval of price changes," Papers cond-mat/0312560, arXiv.org, revised Mar 2006.
- Ren, Fei & Gu, Gao-Feng & Zhou, Wei-Xing, 2009.
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- Fei Ren & Gao-Feng Gu & Wei-Xing Zhou, 2009. "Scaling and memory in the return intervals of realized volatility," Papers 0904.1107, arXiv.org, revised Aug 2009.
- Tarasov, Vasily E., 2020. "Fractional econophysics: Market price dynamics with memory effects," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
- Ponta, Linda & Trinh, Mailan & Raberto, Marco & Scalas, Enrico & Cincotti, Silvano, 2019.
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- Linda Ponta & Mailan Trinh & Marco Raberto & Enrico Scalas & Silvano Cincotti, 2012. "Modeling non-stationarities in high-frequency financial time series," Papers 1212.0479, arXiv.org, revised Feb 2017.
- Magdalena Osinska & Andrzej Dobrzynski & Yochanan Shachmurove, 2016. "Performance Of American And Russian Joint Stock Companies On Financial Market. A Microstructure Perspective," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(4), pages 819-851, December.
- Jiang, Zhi-Qiang & Chen, Wei & Zhou, Wei-Xing, 2008.
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