Now showing items 1-3 of 3

    • Modeling non-stationarities in high-frequency financial time series 

      Ponta, L.; Trinh, M.; Raberto, M.; Scalas, E.Autoridad BCAM; Cincotti, S. (2019-01)
      We study tick-by-tick financial returns for the FTSE MIB index of the Italian Stock Exchange (Borsa Italiana). We confirm previously detected non-stationarities. Scaling properties reported before for other high-frequency ...
    • Semi-markov graph dynamics 

      Raberto, M.; Rapallo, F.; Scalas, E.Autoridad BCAM (2011-12-31)
      In this paper, we outline a model of graph (or network) dynamics based on two ingredients. The first ingredient is a Markov chain on the space of possible graphs. The second ingredient is a semi-Markov counting process of ...
    • Statistical analysis and agent-based microstructure modeling of high-frequency financial trading 

      Ponta, L.; Scalas, E.Autoridad BCAM; Raberto, M.; Cincotti, S. (2012-12-31)
      A simulation of high-frequency market data is performed with the Genoa Artificial Stock Market. Heterogeneous agents trade a risky asset in exchange for cash. Agents have zero intelligence and issue random limit or market ...