Enrico Scalas | Ricerc@Sapienza

Pubblicazioni

Titolo	Pubblicato in	Anno
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
Editors' foreword: Special issue of Quantitative Finance on Hawkes Processes in Finance	QUANTITATIVE FINANCE	2018