Zobrazeno 1 - 10
of 40
pro vyhledávání: '"Politi, Mauro"'
Autor:
Scalas, Enrico, Politi, Mauro
A stochastic model for pure-jump diffusion (the compound renewal process) can be used as a zero-order approximation and as a phenomenological description of tick-by-tick price fluctuations. This leads to an exact and explicit general formula for the
Externí odkaz:
http://arxiv.org/abs/1202.4332
The extreme event statistics plays a very important role in the theory and practice of time series analysis. The reassembly of classical theoretical results is often undermined by non-stationarity and dependence between increments. Furthermore, the c
Externí odkaz:
http://arxiv.org/abs/1106.0039
The fractional Poisson process (FPP) is a counting process with independent and identically distributed inter-event times following the Mittag-Leffler distribution. This process is very useful in several fields of applied and theoretical physics incl
Externí odkaz:
http://arxiv.org/abs/1104.4234
Autor:
Abergel, Frédéric, Politi, Mauro
The possibility that the collective dynamics of a set of stocks could lead to a specific basket violating the efficient market hypothesis is investigated. Precisely, we show that it is systematically possible to form a basket with a non-trivial autoc
Externí odkaz:
http://arxiv.org/abs/1006.5230
Publikováno v:
European Physical Journal B 79 (1), 13-22, 2010
Random matrix theory is used to assess the significance of weak correlations and is well established for Gaussian statistics. However, many complex systems, with stock markets as a prominent example, exhibit statistics with power-law tails, that can
Externí odkaz:
http://arxiv.org/abs/0903.1629
Publikováno v:
Physical Review E 79 (6), 066102:1-12, 2009
The continuous-time random walk (CTRW) is a pure-jump stochastic process with several applications in physics, but also in insurance, finance and economics. A definition is given for a class of stochastic integrals driven by a CTRW, that includes the
Externí odkaz:
http://arxiv.org/abs/0802.3769
Autor:
Politi, Mauro, Scalas, Enrico
Publikováno v:
Physica A 383 (2007) 43-48
In high frequency financial data not only returns but also waiting times between trades are random variables. In this work, we analyze the spectra of the waiting-time processes for tick-by-tick trades. The numerical problem, strictly related with the
Externí odkaz:
http://arxiv.org/abs/0801.3043
Autor:
Politi, Mauro1, Gioia, Federica2
Publikováno v:
Law & Practice of International Courts & Tribunals. 2006, Vol. 5 Issue 1, p103-123. 21p.
