Enrico Scalas | Ricerc@Sapienza

Pubblicazioni

Titolo	Pubblicato in	Anno
Para-Markov chains and related non-local equations	FRACTIONAL CALCULUS & APPLIED ANALYSIS	2025
The rough Hawkes process	COMMUNICATIONS IN STATISTICS, THEORY AND METHODS	2024
Parameter estimation for the fractional Hawkes process	JOURNAL OF AGRICULTURAL, BIOLOGICAL, AND ENVIRONMENTAL STATISTICS	2024
A fractional Hawkes process II: Further characterization of the process	PHYSICA. A	2023
A fractional approach to study the pure-temporal Epidemic Type Aftershock Sequence (ETAS) process for earthquakes modeling	FRACTIONAL CALCULUS & APPLIED ANALYSIS	2023
Queuing models with Mittag-Leffler inter-event times	FRACTIONAL CALCULUS & APPLIED ANALYSIS	2023
Continuum and thermodynamic limits for a simple random-exchange model	STOCHASTIC PROCESSES AND THEIR APPLICATIONS	2022
An empirical data analysis of “price runs” in daily financial indices: Dynamically assessing market geometric distributional behavior	PLOS ONE	2022
Bounds for mixing times for finite semi-Markov processes with heavy-tail jump distribution	FRACTIONAL CALCULUS & APPLIED ANALYSIS	2022
Limitations of portfolio diversification through fat tails of the return Distributions: Some empirical evidence	THE NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE	2021
A fractional generalization of the Dirichlet distribution and related distributions	FRACTIONAL CALCULUS & APPLIED ANALYSIS	2021
Limit theorems for prices of options written on semi-Markov processes	THEORY OF PROBABILITY AND MATHEMATICAL STATISTICS	2021
Fractional non-homogeneous Poisson and Pólya-Aeppli processes of order $k$ and beyond	COMMUNICATIONS IN STATISTICS, THEORY AND METHODS	2021
A Fractional Hawkes Process	Nonlocal and fractional operators	2021
Advanced studies of financial technologies and cryptocurrency markets		2020
Financial innovations and blockchain applications: New digital paradigms in global cybersociety	Advanced studies of financial technologies and cryptocurrency markets	2020
Computation of the stochastic basin of attraction by rigorous construction of a Lyapunov function		2019
Fat tails in financial return distributions revisited: Evidence from the Korean stock market		2019
Modeling non-stationarities in high-frequency financial time series		2019
Limit theorems for the fractional nonhomogeneous Poisson process		2019