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Genoa, 30 May 2012. 7:12 GMT +2.

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Research articles:

• T. Di Matteo, T. Aste, M. M. Dacorogna.
  Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development.
  Journal of Banking & Finance 29 No. 4, April 2005, pp. 827-851.
  
• E. Scalas, F. Mainardi, R. Gorenflo.
  Uncoupled continuous-time random walks: Solution and limiting behavior of the master equation.
  Phys Rev E 69 No. 1, 2004, pp. 011107-1:8.
  
• K. Fatai, L. Oxley, F. G. Scrimgeour.
  Modeling and forecasting the demand for electricity in New Zeland: a comparison of altrnative approaches.
  Energy J 24 No. 1, 2003, pp. 75-102.
  
• M. LiCalzi, P. Pellizzari.
  Fundamentalists clashing over the book: a study of order-driven stock markets.
  Quantitative Finance 3 No. 6, December 2003, pp. 470-480.
  
• M. Raberto, S. Cincotti, S.M. Focardi, M. Marchesi.
  Traders' Long-Run Wealth in an Artificial Financial Market.
  Computational Economics 22 No. 2-3, October-December 2003, pp. 255-272.
  
• H. Luckock.
  A steady-state model of the continuous double auction.
  Quant Financ 3 No. 5, October 2003, pp. 385-404.
  
• G. Bottazzi, A. Secchi.
  Why are distributions of firm growth rates tent-shaped?.
  Econ Lett 80 No. 3, September 2003, pp. 415-420.
  
• O. Blanchard, F. Giavazzi.
  Macroeconomic effects of regulation and deregulation in goods and labor markets.
  Q J Econ 118 No. 3, August 2003, pp. 879-907.
  
• G. De Fabritiis, F. Pammolli, Riccaboni M.
  On size and growth of business firms.
  Physica A 324 No. 1-2, June 2003, pp. 38-44.
  
• S. Cincotti, S.M. Focardi, M. Marchesi, M. Raberto.
  Who wins? Study of long-run trader survival in an artificial stock market.
  Physica A 324 No. 1-2, June 2003, pp. 227-233.
  
• F. Pérez-Cruz, J.A. Afonso-Rodríguez, J. Giner.
  Estimating GARCH models using support vector machines.
  Quantitative Finance 3 No. 3, June 2003, pp. 163-172.
  
• R. Kutner, F. Switala.
  Stochastic simulations of time series within Weierstrass-Mandelbrot walks.
  Quantitative Finance 3 No. 3, June 2003, pp. 201-211.
  
• M.G. Daniels, J.D. Farmer, L. Gillemot, G. Iori, E. Smith.
  Quantitative model of price diffusion and market friction based on trading as a mechanistic random process.
  Phys Rev Lett 90 No. 10, March 2003, pp. 108102-1:4.
  
• E. Scalas, R. Gorenflo, F. Mainardi, M. Raberto.
  Revisiting the derivation of the fractional diffusion equation.
  Fractals 11 No. Suppl. S, February 2003, pp. 281-289.
  
• M. Raberto, E. Scalas, F. Mainardi.
  Waiting-times and returns in high-frequency financial data: an empirical study.
  Physica A 314 No. 1-4, November 2002, pp. 749-755.
  
• G. Iori.
  A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions.
  J Econ Behav Organ 49 No. 2, October 2002, pp. 269-285.
  
• S.M. Focardi, S. Cincotti, M. Marchesi.
  Self-organization and market crashes.
  J Econ Behav Organ 49 No. 2, October 2002, pp. 241-267.
  
• J.-P. Bouchaud, M. Mézard, M. Potters.
  Statistical properties of stock order books: empirical results and models.
  Quantitative Finance 2 No. 4, August 2002, pp. 251-256.
  
• C.H. Hommes.
  Modeling the stylized facts in finance through simple nonlinear adaptive systems.
  Proc Natl Acad Sci USA 99 No. Suppl. 3, May 2002, pp. 7221-7228.
  
• L. Sabatelli, S. Keating, J. Dudley, P. Richmond.
  Waiting time distributions in financial markets.
  Eur Phys J B 27 No. 2, May 2002, pp. 273–275.
  
• Y. Sato, E. Akiyama, J.D. Farmer.
  Chaos in learning a simple two-person game.
  Proc Natl Acad Sci USA 99 No. 7, April 2002, pp. 4748-4751.
  
• H.E. Stanley, L.A.N. Amaral, S.V. Buldyrev, P. Gopikrishnan, V. Plerou, M.A. Salinger.
  Self-organized complexity in economics and finance.
  Proc Natl Acad Sci USA 99 No. Suppl. 1, February 2002, pp. 2561-2565.
  
• Z. Burda, D. Johnston, J. Jurkiewicz, M. Kamiski, M.A. Nowak, G. Papp, I. Zahed.
  Wealth condensation in a pareto macroeconomics.
  Phys Rev E 65 No. 2, February 2002, pp. 6102-1:5.
  
• G. Boffetta, M. Cencini, M. Falcioni, A. Vulpiani.
  Predictability: a way to characterize complexity.
  Phys Rep 356 No. 6, January 2002, pp. 367-474.
  
• W.J. Reed.
  The Pareto, Zipf and other power laws.
  Econ Lett 74 No. 1, December 2001, pp. 15-19.
  
• G. Cuniberti, M. Porto, E. H. Roman.
  Asset-asset interactions and clustering in financial markets.
  Physica A 299 No. , 2001, pp. 262.
  
• S.-H. Chen, T. Lux, M. Marchesi.
  Testing for non-linear structure in an artificial market.
  J Econ Behav Organ 46 No. 3, November 2001, pp. 327-342.
  
• H.E. Stanley, L.A.N. Amaral, X. Gabaix, P. Gopikrishnan, V. Plerou.
  Similarities and differences between physics and economics.
  Physica A 299 No. 1-2, October 2001, pp. 1-15.
  
• G. Bonanno, F. Lillo, R.N. Mantegna.
  Levels of complexity in financial markets.
  Physica A 299 No. 1-2, October 2001, pp. 16-27.
  
• M. Raberto, S. Cincotti, S.M. Focardi, M. Marchesi.
  Agent-based simulation of a financial market.
  Physica A 299 No. 1-2, October 2001, pp. 320-328.
  
• E. Mjolsness, D. DeCoste.
  Machine learning for science: state of the art and future prospects.
  Science 293 No. 5537, 14 September 2001, pp. 2051-2055.
  
• R.L. Axtell.
  Zipf Distribution of U.S. Firm Sizes.
  Science 293 No. 5536, 7 September 2001, pp. 1818-1820.
  
• O. Biham, Z.-F. Huang, O. Malcai, S. Solomon.
  Long-time fluctuations in a dynamical model of stock market indices.
  Phys Rev E 64 No. 2, August 2001, pp. 6101+5.
  
• L. Grabec.
  Experimental modeling of physical laws.
  Eur Phys J B 22 No. 1, July 2001, pp. 129-135.
  
• M.D. London, A.K. Evans, M.J. Turner.
  Conditional entropy and randomness in financial time series.
  Quantitative Finance 1 No. 4, July 2001, pp. 414-426.
  
• M.P. Clements, D.F. Hendry.
  Forecasting with difference-stationary and trend-stationary models.
  Econometrics J 4 No. 2, June 2001, pp. S1-S19.
  
• G. Cuniberti, A. Valleriani, J.L. Vega.
  Effects of regulation in a self-organized market.
  Quant Finance 1 No. 3, May 2001, pp. 332-335.
  
• Z.-F. Huang, S. Solomon.
  Finite market size as a source of extreme wealth inequality and market instability.
  Physica A 294 No. 3-4, May 2001, pp. 503-513.
  
• G. Cuniberti, L. Matassini.
  Liquid markets and market liquids.
  Eur Phys J B 20 No. 4, April 2001, pp. 561-564 .
  
• P. Richmond.
  Power law distributions and dynamic behaviour of stock markets.
  Eur Phys J B 20 No. 4, April 2001, pp. 523-526.
  
• F. Castiglione.
  Forecasting price increments using an artificial neural network.
  Advances in Complex Systems 4 No. 1, March 2001, pp. 45-56.
  
• P. Richmond, S. Solomon.
  Power laws are disguised Boltzmann laws.
  Int J Mod Phys C 12 No. 3, March 2001, pp. 333-343.
  
• F. Mainardi, M. Raberto, E. Scalas, R. Gorenflo.
  Fractional calculus and continuous-time finance II: the waiting-time distribution.
  Physica A 287 No. 3-4, December 2000, pp. 468-481.
  
• E. Scalas, R. Gorenflo, F. Mainardi.
  Fractional calculus and continuous-time finance.
  Physica A 284 No. 1-4, September 2000 , pp. 376-384.
  
• M. H. Pesaran, Y. Shin, R. J. Smith.
  Structural analysis of vector error correction models with exogenous I(1) variables.
  J Econometrics 97 No. 2, August 2000, pp. 293-343.
  
• H.E. Stanley, L.A.N. Amaral, P. Gopikrishnan, V. Plerou.
  Scale invariance and universality of economic fluctuations.
  Physica A 283 No. 1-2, August 2000, pp. 31-41.
  
• R. Cont, J.-P. Bouchaud.
  Herd behavior and aggregate fluctuations in financial markets.
  Macroecon Dyn 4 No. 2, June 2000 170-196, pp. .
  
• L. Molgedey, W. Ebeling.
  Local order, entropy and predictability of financial time series.
  Eur Phs J B 15 No. 4, June 2000, pp. 733-777.
  
• T. Lux, M. Marchesi.
  Volatility clustering in financial markets: a micro-simulation of interacting agents.
  Int J Theor Appl Finance 3 No. 4, 2000, pp. 675-702.
  
• M Raberto, G. Cuniberti, M. Riani, E. Scalas, F. Mainardi, G. Servizi.
  Learning short-option valuation in the presence of rare events.
  Int J Theor Appl Finance 3 No. 3, 2000, pp. 563-564.
  
• M. Raberto, E. Scalas, G. Cuniberti, M. Riani.
  Volatility in the Italian stock market: an empirical study.
  Physica A 269 No. 1, July 1999, pp. 148-155.
  
• G. Cuniberti, M. Raberto, E. Scalas.
  Correlations in the bond-future market.
  Physica A 269 No. 1, July 1999, pp. 90-97.
  
• M. Pasquini, M. Serva.
  Multiscaling and clustering of volatility.
  Physica A 269 No. 1, July 1999, pp. 140-147.
  
• T. Lux, M. Marchesi.
  Scaling and criticality in a stochastich multi-agent model of a financial market.
  Nature 397 No. 11, 1999, pp. 498-500.
  
• E. Scalas.
  Scaling in the market of futures.
  Physica A 253 No. 1-4, May 1998, pp. 394-402.
  
• A.-H. Sato, H. Takayasua.
  Dynamic numerical models of stock market price: from microscopic determinism to macroscopic randomness.
  Physica A 250 No. 1-4, February 1998, pp. 231-252.
  
• T. Lux.
  Time variation of second moments from a noise trader infection model.
  J Econ Dyn Control 22 No. 1, November 1997, pp. 1-38.
  
• W. Hardle, A. Kirman.
  A model-free examination of price-quantity relations in the Marseilles fish market.
  J Econometrics 67 No. 1, May 1995, pp. 227-257.
  
• R.H. Day, W.H. Huang.
  Bulls, bears and market sheep.
  J Econ Behav Organ 14 No. 3, December 1990, pp. 299-329.
  

• Y.C. Zhang.
  One Hundred Years of Physics in Finance.
  Europhys News 29 No. 1, January 1998, pp. 35.
  
• T. Chapman.
  Speculative Trading, Part 1: Physicsts' Forays into Finance.
  Europhys News 29 No. 1, January 1998, pp. 4.
  
• Y.C. Zhang.
  Speculative Trading, Part 2: Evolving Models of Financial Markets.
  Europhys News 29 No. 2, March 1998, pp. 51--54.
  
• M. Ausloss.
  The Money Games Physicists Play.
  Europhys News 29 No. 2, January 1998, pp. 70-72.
  
• C. Davidson.
  Trust me, I am an expert.
  New Scientist 156 No. 2111, December 1998, pp. 26--30.
  
• W.J. Morokoff.
  Generating Quasi--Random Paths for Stochastic Processes.
  SIAM Review 765-788 No. 4, December 1998, pp. 40.
  
• L.A.N. Amaral, S.V. Buldyrev, S.Havlin, H. Leschhorn, P. Maass, M.A. Salinger, H.E. Stanley, M.H.R. Stanley.
  Scaling behavior in economics: {I}. Empirical Results for Company Growth.
  J Phys I France 7 No. 621, 1997, pp. .
  
• L.A.N. Amaral, S.V. Buldyrev, S. Havlin, M.A. Salinger, H.E. Stanley.
  Power Law Scaling for a System of Interacting Units with Complex Internal Structure.
  Phys Rev Lett 80 No. 7, 1998, pp. 1385-1388.
  
• Y. Ait-Sahalia.
  Nonparametric Pricing of Interest Rate Derivative Securities.
  Econometrica 64 No. 527-560, 1996, pp. .
  
• Y. Ait-Sahalia.
  Testing Continuous--Time Models of the Spot Interest Rate.
  Rev Fin Studies 9 No. 385, 1996, pp. .