Browsing Past Topics (PT) by Author "Scalas, E."
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A class of CTRWs: Compound fractional poisson processes
Scalas, E. (20111231)This chapter is an attempt to present a mathematical theory of compound fractional Poisson processes. It begins with the characterization of a wellknown Lévy process: The compound Poisson process. The semiMarkov extension ... 
A functional limit theorem for stochastic integrals driven by a timechanged symmetric sigmastable Levy process
Scalas, E.; Viles, N. (20141231)Under proper scaling and distributional assumptions, we prove the convergence in the Skorokhod space endowed with the $M_1$topology of a sequence of stochastic integrals of a deterministic function driven by a timechanged ... 
Emerging properties of financial time series in the "game of Life"
HernándezMontoya, A.R.; CoronelBrizio, H.F.; StevensRamírez, G.A.; RodríguezAchach, M.; Politi, M.; Scalas, E. (20111231)We explore the spatial complexity of Conway's "Game of Life," a prototypical cellular automaton by means of a geometrical procedure generating a twodimensional random walk from a bidimensional lattice with periodical ... 
Fine structure of spectral properties for random correlation matrices: An application to financial markets
Livan, G.; Alfarano, S.; Scalas, E. (20111231)We study some properties of eigenvalue spectra of financial correlation matrices. In particular, we investigate the nature of the large eigenvalue bulks which are observed empirically, and which have often been regarded ... 
Full characterization of the fractional Poisson process
Politi, M.; Kaizoji, T.; Scalas, E. (20111231)The fractional Poisson process (FPP) is a counting process with independent and identically distributed interevent times following the MittagLeffler distribution. This process is very useful in several fields of applied ... 
On the convergence of quadratic variation for compound fractional poisson processes
Scalas, E.; Viles, N. (20121231)The relationship between quadratic variation for compound renewal processes and MWright functions is discussed. The convergence of quadratic variation is investigated both as a random variable (for given t) and as a ... 
On the nonstationarity of financial time series: Impact on optimal portfolio selection
Livan, G.; Inoue, J.I.; Scalas, E. (20121231)We investigate the possible drawbacks of employing the standard Pearson estimator to measure correlation coefficients between financial stocks in the presence of nonstationary behavior, and we provide empirical evidence ... 
Random numbers from the tails of probability distributions using the transformation method
Fulger, D.; Scalas, E.; Germano, G. (20131231)The speed of many oneline transformation methods for the production of, for example, Lévy alphastable random numbers, which generalize Gaussian ones, and MittagLeffler random numbers, which generalize exponential ones, ... 
Semimarkov graph dynamics
Raberto, M.; Rapallo, F.; Scalas, E. (20111231)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 semiMarkov counting process of ... 
Statistical analysis and agentbased microstructure modeling of highfrequency financial trading
Ponta, L.; Scalas, E.; Raberto, M.; Cincotti, S. (20121231)A simulation of highfrequency 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 ...