Josep Perelló
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The impact of heterogeneous trading rules on the limit order book and order flows
C Chiarella, G Iori, J Perelló
Journal of Economic Dynamics and Control 33 (3), 525-537, 2009
2262009
Multiple time scales in volatility and leverage correlations: a stochastic volatility model
J Perelló, J Masoliver, JP Bouchaud
Applied Mathematical Finance 11 (1), 27-50, 2004
742004
The continuous time random walk formalism in financial markets
J Masoliver, M Montero, J Perelló, GH Weiss
Journal of Economic Behavior & Organization 61 (4), 577-598, 2006
672006
A correlated stochastic volatility model measuring leverage and other stylized facts
J Masoliver, J Perello
International Journal of Theoretical and Applied Finance 5 (05), 541-562, 2002
652002
Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model
J Masoliver, J Perelló
Quantitative Finance 6 (5), 423-433, 2006
632006
Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model
J Perelló, R Sircar, J Masoliver
Journal of Statistical Mechanics: Theory and Experiment 2008 (06), P06010, 2008
522008
Random diffusion and leverage effect in financial markets
J Perelló, J Masoliver
Physical Review E 67 (3), 037102, 2003
512003
First-passage and risk evaluation under stochastic volatility
J Masoliver, J Perelló
Physical Review E 80 (1), 016108, 2009
482009
Humans display a reduced set of consistent behavioral phenotypes in dyadic games
J Poncela-Casasnovas, M Gutiérrez-Roig, C Gracia-Lázaro, J Vicens, ...
Science advances 2 (8), e1600451, 2016
452016
Model for interevent times with long tails and multifractality in human communications: An application to financial trading
J Perelló, J Masoliver, A Kasprzak, R Kutner
Physical Review E 78 (3), 036108, 2008
422008
Scaling and data collapse for the mean exit time of asset prices
M Montero, J Perelló, J Masoliver, F Lillo, S Micciche, RN Mantegna
Physical Review E 72 (5), 056101, 2005
402005
Transition from reciprocal cooperation to persistent behaviour in social dilemmas at the end of adolescence
M Gutiérrez-Roig, C Gracia-Lázaro, J Perelló, Y Moreno, A Sánchez
Nature communications 5 (1), 1-7, 2014
392014
A comparison between several correlated stochastic volatility models
J Perelló, J Masoliver, N Anento
Physica A: Statistical Mechanics and its Applications 344 (1-2), 134-137, 2004
392004
Escape problem under stochastic volatility: The Heston model
J Masoliver, J Perelló
Physical Review E 78 (5), 056104, 2008
382008
Extreme times in financial markets
J Masoliver, M Montero, J Perelló
Physical Review E 71 (5), 056130, 2005
302005
Volatility: a hidden Markov process in financial time series
Z Eisler, J Perelló, J Masoliver
Physical Review E 76 (5), 056105, 2007
292007
Black–Scholes option pricing within Itô and Stratonovich conventions
J Perelló, JM Porra, M Montero, J Masoliver
Physica A: Statistical Mechanics and its Applications 278 (1-2), 260-274, 2000
272000
The CTRW in finance: Direct and inverse problems with some generalizations and extensions
J Masoliver, M Montero, J Perelló, GH Weiss
Physica A: Statistical Mechanics and its Applications 379 (1), 151-167, 2007
242007
First-passage and escape problems in the Feller process
J Masoliver, J Perelló
Physical Review E 86 (4), 041116, 2012
212012
Higher-order phase transitions on financial markets
A Kasprzak, R Kutner, J Perelló, J Masoliver
The European Physical Journal B 76 (4), 513-527, 2010
202010
El sistema no puede realizar la operación en estos momentos. Inténtalo de nuevo más tarde.
Artículos 1–20