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Enrico Scalas - Publications

Affiliations: 
1998-2014 Scienze e Tecnologie Avanzate Università del Piemonte Orientale Amedeo Avogadro 
 2014- School of Mathematics and Physical Sciences University of Sussex, Falmer, England, United Kingdom 
Area:
Econophysics, Statistical Physics, Statistics, Probability, Stochastic Processes
Website:
http://www.sussex.ac.uk/profiles/330303
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Year Citation  Score
2019 Leonenko N, Scalas E, Trinh M. Limit theorems for the fractional nonhomogeneous Poisson process Journal of Applied Probability. 56: 246-264. DOI: 10.1017/Jpr.2019.16  0.357
2019 Eom C, Kaizoji T, Scalas E. Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market Physica a-Statistical Mechanics and Its Applications. 526: 121055. DOI: 10.1016/J.Physa.2019.121055  0.328
2019 Ponta L, Trinh M, Raberto M, Scalas E, Cincotti S. Modeling non-stationarities in high-frequency financial time series Physica a-Statistical Mechanics and Its Applications. 521: 173-196. DOI: 10.1016/J.Physa.2019.01.069  0.344
2017 Ahlfeld R, Montomoli F, Scalas E, Shahpar S. Uncertainty Quantification for Fat-Tailed Probability Distributions in Aircraft Engine Simulations Journal of Propulsion and Power. 33: 881-890. DOI: 10.2514/1.B36278  0.37
2017 Scalas E. Continuous-time statistics and generalized relaxation equations The European Physical Journal B. 90. DOI: 10.1140/Epjb/E2017-80311-5  0.391
2017 Leonenko N, Scalas E, Trinh M. The fractional non-homogeneous Poisson process Statistics & Probability Letters. 120: 147-156. DOI: 10.1016/J.Spl.2016.09.024  0.359
2017 Scalas E, Rapallo F, Radivojević T. Low-traffic limit and first-passage times for a simple model of the continuous double auction Physica a: Statistical Mechanics and Its Applications. 485: 61-72. DOI: 10.1016/J.Physa.2017.05.020  0.334
2016 Polito F, Scalas E. A Generalization of the Space-Fractional Poisson Process and its Connection to some Lévy Processes Electronic Communications in Probability. 21. DOI: 10.1214/16-Ecp4383  0.334
2016 Scalas E. Random exchange models and the distribution of wealth The European Physical Journal Special Topics. 225: 3293-3298. DOI: 10.1140/Epjst/E2016-60162-3  0.37
2015 Georgiou N, Kiss IZ, Scalas E. Solvable non-Markovian dynamic network. Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics. 92: 042801. PMID 26565283 DOI: 10.1103/Physreve.92.042801  0.341
2015 Scalas E, Gabriel AT, Martin E, Germano G. Velocity and energy distributions in microcanonical ensembles of hard spheres. Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics. 92: 022140. PMID 26382376 DOI: 10.1103/Physreve.92.022140  0.696
2015 Livan G, Alfarano S, Milakovic M, Scalas E. A spectral perspective on excess volatility Applied Economics Letters. 22: 745-750. DOI: 10.1080/13504851.2014.975324  0.314
2015 Scalas E, Radivojević T, Garibaldi U. Wealth distribution and the Lorenz curve: a finitary approach Journal of Economic Interaction and Coordination. 10: 79-89. DOI: 10.1007/S11403-014-0136-2  0.338
2014 Radivojević T, Anselmi J, Scalas E. Ergodic transition in a simple model of the continuous double auction. Plos One. 9: e88095. PMID 24558377 DOI: 10.1371/Journal.Pone.0088095  0.325
2014 Gerardo-Giorda L, Germano G, Scalas E. Large-scale simulations of synthetic markets Communications in Applied and Industrial Mathematics. 6. DOI: 10.1685/Journal.Caim.535  0.546
2014 Scalas E, Viles N. A functional limit theorem for stochastic integrals driven by a time-changed symmetricα-stable Lévy process Stochastic Processes and Their Applications. 124: 385-410. DOI: 10.1016/J.Spa.2013.08.005  0.351
2013 Fulger D, Scalas E, Germano G. Random numbers from the tails of probability distributions using the transformation method Fractional Calculus and Applied Analysis. 16: 332-353. DOI: 10.2478/S13540-013-0021-Z  0.751
2012 Scalas E, Viles N. On the convergence of quadratic variation for compound fractional Poisson processes Fractional Calculus and Applied Analysis. 15. DOI: 10.2478/S13540-012-0023-2  0.301
2012 Ponta L, Scalas E, Raberto M, Cincotti S. Statistical Analysis and Agent-Based Microstructure Modeling of High-Frequency Financial Trading Ieee Journal of Selected Topics in Signal Processing. 6: 381-387. DOI: 10.1109/Jstsp.2011.2174192  0.377
2012 Livan G, Inoue J, Scalas E. On the non-stationarity of financial time series: impact on optimal portfolio selection Journal of Statistical Mechanics: Theory and Experiment. 2012: 7025. DOI: 10.1088/1742-5468/2012/07/P07025  0.304
2011 Hernández-Montoya AR, Coronel-Brizio HF, Stevens-Ramírez GA, Rodríguez-Achach M, Politi M, Scalas E. Emerging properties of financial time series in the "Game of Life". Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics. 84: 066104. PMID 22304152 DOI: 10.1103/Physreve.84.066104  0.622
2011 Livan G, Alfarano S, Scalas E. Fine structure of spectral properties for random correlation matrices: an application to financial markets. Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics. 84: 016113. PMID 21867263 DOI: 10.1103/Physreve.84.016113  0.333
2011 Fulger D, Scalas E. Spectral properties of correlation matrices--towards enhanced spectral clustering. Methods in Molecular Biology (Clifton, N.J.). 696: 381-411. PMID 21063962 DOI: 10.1007/978-1-60761-987-1_25  0.746
2011 Politi M, Kaizoji T, Scalas E. Full characterization of the fractional Poisson process Epl (Europhysics Letters). 96: 20004. DOI: 10.1209/0295-5075/96/20004  0.628
2010 Politi M, Scalas E, Fulger D, Germano G. Spectral densities of Wishart-Lévy free stable random matrices: Analytical results and Monte Carlo validation European Physical Journal B. 73: 13-22. DOI: 10.1140/Epjb/E2009-00360-7  0.738
2010 Germano G, Politi M, Scalas E, Schilling RL. Itô and Stratonovich integrals on compound renewal processes: the normal/Poisson case Communications in Nonlinear Science and Numerical Simulation. 15: 1583-1588. DOI: 10.1016/J.Cnsns.2009.06.010  0.698
2009 Germano G, Politi M, Scalas E, Schilling RL. Stochastic calculus for uncoupled continuous-time random walks. Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics. 79: 066102. PMID 19658559 DOI: 10.1103/Physreve.79.066102  0.731
2009 Scalas E, Garibaldi U. A Dynamic Probabilistic Version of the Aoki-Yoshikawa Sectoral Productivity Model Economics : the Open-Access, Open-Assessment E-Journal. 3: 1-10. DOI: 10.5018/Economics-Ejournal.Ja.2009-15  0.36
2009 Ferraro S, Manzini M, Masoero A, Scalas E. A random telegraph signal of Mittag-Leffler type Physica a: Statistical Mechanics and Its Applications. 388: 3991-3999. DOI: 10.1016/J.Physa.2009.06.036  0.332
2009 Sazuka N, Inoue J, Scalas E. The distribution of first-passage times and durations in FOREX and future markets Physica a: Statistical Mechanics and Its Applications. 388: 2839-2853. DOI: 10.1016/J.Physa.2009.03.027  0.376
2008 Fulger D, Scalas E, Germano G. Monte Carlo simulation of uncoupled continuous-time random walks yielding a stochastic solution of the space-time fractional diffusion equation. Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics. 77: 021122. PMID 18352002 DOI: 10.1103/Physreve.77.021122  0.757
2008 Lim G, Kim S, Kim K, Lee D, Scalas E. Dynamical behaviors of inter-out-of-equilibrium state intervals in Korean futures exchange markets Physica a-Statistical Mechanics and Its Applications. 387: 2831-2836. DOI: 10.1016/J.Physa.2008.01.041  0.336
2008 Politi M, Scalas E. Fitting the empirical distribution of intertrade durations Physica a: Statistical Mechanics and Its Applications. 387: 2025-2034. DOI: 10.1016/J.Physa.2007.11.018  0.612
2007 Scalas E, Martin E, Germano G. Ehrenfest urn revisited: playing the game on a realistic fluid model. Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics. 76: 011104. PMID 17677407 DOI: 10.1103/Physreve.76.011104  0.727
2007 Kim C, Park CH, Kim SY, Kim K, Scalas E. Dynamics Of Avalanche Activities In Financial Markets International Journal of Modern Physics C. 18: 119-127. DOI: 10.1142/S0129183107010322  0.303
2007 Garibaldi U, Scalas E, Viarengo P. Statistical equilibrium in simple exchange games II. The redistribution game The European Physical Journal B. 60: 241-246. DOI: 10.1140/Epjb/E2007-00338-5  0.313
2007 Politi M, Scalas E. Activity spectrum from waiting-time distribution Physica a: Statistical Mechanics and Its Applications. 383: 43-48. DOI: 10.1016/J.Physa.2007.04.086  0.627
2007 Lim G, Kim SY, Scalas E, Kim K. Volatilities, traded volumes, and the hypothesis of price increments in derivative securities Physica a-Statistical Mechanics and Its Applications. 382: 577-585. DOI: 10.1016/J.Physa.2007.03.019  0.334
2007 Mosetti G, Jug G, Scalas E. Power laws from randomly sampled continuous-time random walks Physica a: Statistical Mechanics and Its Applications. 375: 233-238. DOI: 10.1016/J.Physa.2006.08.065  0.318
2007 Scalas E. Mixtures of compound Poisson processes as models of tick-by-tick financial data Chaos Solitons & Fractals. 34: 33-40. DOI: 10.1016/J.Chaos.2007.01.047  0.322
2006 Scalas E, Garibaldi U, Donadio S. Statistical equilibrium in simple exchange games I The European Physical Journal B. 53: 267-272. DOI: 10.1140/Epjb/E2007-00345-6  0.385
2006 Meerschaert MM, Scalas E. Coupled continuous time random walks in finance Physica a: Statistical Mechanics and Its Applications. 370: 114-118. DOI: 10.1016/J.Physa.2006.04.034  0.425
2006 Scalas E. The application of continuous-time random walks in finance and economics Physica a-Statistical Mechanics and Its Applications. 362: 225-239. DOI: 10.1016/J.Physa.2005.11.024  0.366
2006 Scalas E, Kaizoji T, Kirchler M, Huber J, Tedeschi A. Waiting times between orders and trades in double-auction markets Physica a: Statistical Mechanics and Its Applications. 366: 463-471. DOI: 10.1016/J.Physa.2005.09.047  0.309
2006 Gallegati M, Palestrini A, Gatti DD, Scalas E. Aggregation of Heterogeneous Interacting Agents: The Variant Representative Agent Framework Journal of Economic Interaction and Coordination. 1: 5-19. DOI: 10.1007/S11403-006-0001-Z  0.337
2006 Scalas E. Five Years of Continuous-time Random Walks in Econophysics The Finance. 3-16. DOI: 10.1007/3-540-28727-2_1  0.31
2004 Scalas E, Gorenflo R, Mainardi F. Uncoupled continuous-time random walks: Solution and limiting behavior of the master equation. Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics. 69: 011107. PMID 14995604 DOI: 10.1103/Physreve.69.011107  0.321
2004 Scalas E, Gorenflo R, Luckock H, Mainardi F, Mantelli M, Raberto M. Anomalous waiting times in high-frequency financial data Quantitative Finance. 4: 695-702. DOI: 10.1080/14697680500040413  0.318
2003 SCALAS E, GORENFLO R, MAINARDI F, RABERTO M. REVISITING THE DERIVATION OF THE FRACTIONAL DIFFUSION EQUATION Fractals. 11: 281-289. DOI: 10.1142/9789812778109_0029  0.314
2002 Reverberi AP, Scalas E, Vegliò F. Numerical solution of moving boundary problems in diffusion processes with attractive and repulsive interactions Journal of Physics a: Mathematical and General. 35: 1575-1588. DOI: 10.1088/0305-4470/35/7/307  0.33
2002 Raberto M, Scalas E, Mainardi F. Waiting-times and returns in high-frequency financial data: an empirical study Physica a-Statistical Mechanics and Its Applications. 314: 749-755. DOI: 10.1016/S0378-4371(02)01048-8  0.346
2000 Pelizzola A, Pretti M, Scalas E. Heterochirality in Langmuir monolayers and antiferromagnetic Blume–Emery–Griffiths model The Journal of Chemical Physics. 112: 8126-8136. DOI: 10.1063/1.481413  0.305
2000 Mainardi F, Raberto M, Gorenflo R, Scalas E. Fractional calculus and continuous-time finance II: the waiting-time distribution Physica a-Statistical Mechanics and Its Applications. 287: 468-481. DOI: 10.1016/S0378-4371(00)00386-1  0.355
2000 Scalas E, Gorenflo R, Mainardi F. Fractional calculus and continuous-time finance Physica a: Statistical Mechanics and Its Applications. 284: 376-384. DOI: 10.1016/S0378-4371(00)00255-7  0.364
2000 Ridi A, Scalas E, Gliozzi A. Noise measurements in bilayer lipid membranes during electroporation European Physical Journal E. 2: 161-168. DOI: 10.1007/S101890050050  0.601
1999 Indiveri G, Scalas E, Levi A, Gliozzi A. Morphologies in two-dimensional growth with attractive long-range interactions Physica a: Statistical Mechanics and Its Applications. 273: 217-230. DOI: 10.1016/S0378-4371(99)00231-9  0.744
1999 Raberto M, Scalas E, Cuniberti G, Riani M. Volatility in the Italian Stock Market: An Empirical Study The Finance. DOI: 10.1016/S0378-4371(99)00089-8  0.386
1999 Cuniberti G, Raberto M, Scalas E. Correlations in the Bond-Future Market Physica a-Statistical Mechanics and Its Applications. 269: 90-97. DOI: 10.1016/S0378-4371(99)00083-7  0.367
1998 Scalas E, Ridi A, Robello M, Gliozzi A. Flicker noise in bilayer lipid membranes Epl. 43: 101-106. DOI: 10.1209/Epl/I1998-00308-1  0.572
1998 Reverberi A, Scalas E. Dynamic scaling of a reaction-limited decay process Physica a: Statistical Mechanics and Its Applications. 254: 348-357. DOI: 10.1016/S0378-4371(98)00044-2  0.329
1998 Scalas E. Scaling In The Market Of Futures Physica a-Statistical Mechanics and Its Applications. 253: 394-402. DOI: 10.1016/S0378-4371(97)00652-3  0.351
1998 Ridi A, Scalas E, Robello M, Gliozzi A. Linear response of a fluctuating lipid bilayer Thin Solid Films. 327: 796-799. DOI: 10.1016/S0040-6090(98)00789-5  0.57
1998 Danani A, Ferrando R, Scalas E, Torri M. Collective surface diffusion on triangular and square interacting lattice gases Surface Science. 409: 117-129. DOI: 10.1016/S0039-6028(98)00273-8  0.345
1997 Reverberi AP, Scalas E. Surface Selective Deconstruction Fractals. 5: 327-332. DOI: 10.1142/S0218348X97000322  0.334
1997 Danani A, Ferrando R, Scalas E, Torri M. Lattice-Gas Theory of Collective Diffusion in Adsorbed Layers International Journal of Modern Physics B. 11: 2217-2279. DOI: 10.1142/S0217979297001155  0.363
1996 Indiveri G, Levi AC, Gliozzi A, Scalas E, Möhwald H. Cluster growth with long-range interactions Thin Solid Films. 284: 106-109. DOI: 10.1016/S0040-6090(95)08282-4  0.741
1996 Danani A, Ferrando R, Scalas E, Torri M. Multi-site correlation functions in two-dimensional lattice gases Physica a: Statistical Mechanics and Its Applications. 223: 149-166. DOI: 10.1016/0378-4371(95)00288-X  0.338
1995 Danani A, Ferrando R, Scalas E, Torri M, Brivio G. Lattice-gas model of diffusion of NH3 on Re(0001) Chemical Physics Letters. 236: 533-537. DOI: 10.1016/0009-2614(95)00240-5  0.318
1994 Gliozzi A, Levi A, Menessini M, Scalas E. Temperature and disequilibrium dependence of cluster growth Physica a: Statistical Mechanics and Its Applications. 203: 347-358. DOI: 10.1016/0378-4371(94)90003-5  0.736
1993 Genco I, Gliozzi A, Relini A, Robello M, Scalas E. Electroporation in symmetric and asymmetric membranes. Biochimica Et Biophysica Acta. 1149: 10-18. PMID 8318522 DOI: 10.1016/0005-2736(93)90019-V  0.584
1993 Scalas E, Viano GA. The Hausdorff moments in statistical mechanics Journal of Mathematical Physics. 34: 5781-5800. DOI: 10.1063/1.530282  0.308
1993 Ferrando R, Scalas E. Self-diffusion in a 2D lattice gas with lateral interactions Surface Science. 281: 178-190. DOI: 10.1016/0039-6028(93)90867-J  0.328
1990 SCALAS E, LEVI AC, GLIOZZI A. A COMPUTER STUDY OF A SIMPLE STATISTICAL-MECHANICAL MODEL OF PHOSPHOLIPID MONOLAYERS AND BILAYERS Le Journal De Physique Colloques. 51: C7-333-C7-338. DOI: 10.1051/Jphyscol:1990733  0.732
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