Now showing items 1-2 of 2

    • 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 ...