Activities (subject to variations)
A4.1 - Hardware in option pricing
A4.2 - Analysis of market microstructure: arbitrage opportunities
A4.3 - Analysis of market microstructure: market imperfections
A4.4 - Front-end hardware for risk management: Feasibility study
People
Alessandria:
Project Manager: Enrico Scalas
Genoa:
Canberra:
Publications, preprints, working papers, reports, and all that
[1] E. Scalas, R. Gorenflo, F. Mainardi, M. Mantelli, M. Raberto, Anomalous waiting times in high-frequency financial data. Old version.
[2] E. Scalas, R. Gorenflo, H. Luckock, F. Mainardi, M. Mantelli, M. Raberto, Anomalous waiting times in high-frequency financial data. New version
[3] T. Di Matteo, M. Airoldi, E. Scalas, On pricing of interest rate derivatives.
[4] E.Scalas, Five years of continuous-time random walks in Econophysics. Invited talk presented at WEHIA 2004, Kyoto.
[5] S. Cincotti, S.M. Focardi, L. Ponta, M. Raberto, E. Scalas, The waiting-time distribution of trading activity in a double auction artificial financial market. Presented at WEHIA 2004, Kyoto.
[6] E. Scalas, S. Cincotti, S.M. Focardi, L. Ponta, M. Raberto, A double-auction artificial market with time-irregularly spaced orders. Presented at SCE 2004, Amsterdam. Slides
[7] E. Scalas, R. Gorenflo, F. Mainardi, M. Meerschaert, Speculative option valuation and the fractional diffusion equation. Presented at FDA'04, Bordeaux. Slides
[8] E. Scalas, Imperfezioni dei mercati e progettazione hardware: stato dell'arte delle attivita' A4.1-4 (in Italian). Presented at the Palermo FISR meeting, 18-19 June 2004.
[9] E. Scalas, Cenni di teoria ergodica (in Italian). Presented at the Ancona meeting, 7-8 October 2004.
[10] E. Scalas, Continuous-time random walks and fractional calculus: Theory and applications. Presented at Genoa University, Physics Department, 20 October 2004.
[11] M. Leccardi,
Comparison of three algorithms for Levy noise generation.
To be presented at ENOC '05,
Mini Symposium on Fractional Derivatives and their Applications.
Links