1993 (v1)
Publication
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Uploaded on: March 31, 2023
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1993 (v1)Publication
No description
Uploaded on: March 31, 2023 -
2011 (v1)Publication
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 semi-Markov counting process of renewal type. The model consists in subordinating the Markov chain to the semi-Markov counting process. In simple words,...
Uploaded on: April 14, 2023 -
2012 (v1)Publication
A simulation of high-frequency 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 orders depending on their budget constraints. The price is cleared by means of a limit order book. A renewal...
Uploaded on: April 14, 2023 -
1994 (v1)Publication
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Uploaded on: March 27, 2023 -
1993 (v1)Publication
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Uploaded on: April 14, 2023 -
1999 (v1)Publication
We study the volatility of the MIB30-stock-index high-frequency data from November 28, 1994 through September 15, 1995. Our aim is to empirically characterize the volatility random walk in the framework of continuous-time finance. To this end, we compute the index volatility by means of the log-return standard deviation. We choose an...
Uploaded on: April 14, 2023 -
2005 (v1)Publication
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Uploaded on: March 25, 2023 -
2006 (v1)Publication
In this paper, the statistical properties of high-frequency data are investigated by means of computational experiments performed with the Genoa Artificial Stock Market (Raberto et al. 2001, 2003, 2004). In the market model, heterogeneous agents trade one risky asset in exchange for cash. Agents have zero intelligence and issue random limit or...
Uploaded on: April 14, 2023