UCL Financial Computing and Analytics

Generalized Hurst exponent


Generalized Hurst exponent: https://www.mathworks.com/matlabcentral/fileexchange/30076-generalized-hurst-exponent

  • Di Matteo, Tiziana, Tomaso Aste, and Michel M. Dacorogna. "Scaling behaviors in differently developed markets." Physica A: Statistical Mechanics and its Applications 324.1-2 (2003): 183-188.
  • Di Matteo, Tiziana, Tomaso Aste, and Michel M. Dacorogna. "Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development." Journal of Banking & Finance 29.4 (2005): 827-851.
  • Di Matteo, Tiziana. "Multi-scaling in finance." Quantitative finance 7.1 (2007): 21-36.



Mittag-Leffler random number generator


Mittag-Leffler random number generator: https://se.mathworks.com/matlabcentral/fileexchange/19392-mittag-leffler-random-number-generator

  • T. J. Kozubowski and S. T. Rachev, "Univariate geometric stable laws", Journal of Computational Analysis and Applications 1, 177-219 (1999). 
  • D. Fulger, E. Scalas, G. Germano, "Monte Carlo simulation of uncoupled continuous-time random walks yielding a stochastic solution of the space-time fractional diffusion equation", Physical Review E 77, 021122 (2008).



Science of Science


Science of Science: github.com/LleytonLi/Reciprocity-and-success-in-academic-careers

  •  Li, W., Aste, T., Caccioli, F., & Livan, G. "Reciprocity and success in academic careers." arXiv preprint arXiv:1808.03781 (2018).



Evolution of Cooperation through indirect reciprocity


Evolution of Cooperation through indirect reciprocity: github.com/simonerighi/RighiTakacs_ScientificReports2018

  • Righi, Simone, and Károly Takács. "Social Closure and the Evolution of Cooperation via Indirect Reciprocity." Scientific reports 8 (2018).



Network Valuation in Financial Systems


Network Valuation in Financial Systems: github.com/paolobarucca/neva

  • Barucca, Paolo, Marco Bardoscia, Fabio Caccioli, Marco D'Errico, Gabriele Visentin, Stefano Battiston, and Guido Caldarelli. "Network valuation in financial systems." (2016).
  • Eisenberg, Larry, and Thomas H. Noe. "Systemic risk in financial systems." Management Science 47.2 (2001): 236-249.