REF results
Please go to the REF 2014 website to view our results.
Examples of current research
 Theoretical Modelling and Empirical Analysis of Wealth and Income Distributions

For details of this project, click here.
For more information on this project and related research areas, contact Enrico Scalas.
 Counting and Classifying

For details of this project, click here.
For more information on this project and related research areas, contact Enrico Scalas.
 Stochastic Models for Nonstationary Data

For details of this project, click here.
For more information on this project and related research areas, contact Enrico Scalas.
 Discrete Hammersley Process

For details of this project, click here.
For more information on this project and related research areas, contact Nicos Georgiou.
 Optimal Sequence Alignments

For details of this project, click here.
For more information on this project and related research areas, contact Nicos Georgiou.
 Inhomogeneous Last Passage Times

For details of this project, click here.
For more information on this project and related research areas, contact Nicos Georgiou.
 Probability Problems from Gauge Theory
 For details of this project, click here.
For more information on this project and related research areas, contact Antoine Dahlqvist.  Geometry of Large Random Trees
 For details of this project, click here.
For more information on this project and related research areas, contact Minmin Wang.  Scaling Limits of Critical Random Graphs
 For details of this project, click here.
For more information on this project and related research areas, contact Minmin Wang.
2023
Butt, Jacob S, Georgiou, Nicos and Scalas, Enrico (2023) Queuing models with MittagLeffler interevent times. Journal of Fractional Calculus and Applied Analysis. pp. 139. ISSN 13110454
Cristofaro, Lorenzo, Garra, Roberto, Scalas, Enrico and Spassiani, Ilaria (2023) A fractional approach to study the puretemporal Epidemic Type Aftershock Sequence (ETAS) process for earthquakes modeling. Fractional Calculus and Applied Analysis, 26. pp. 461479. ISSN 13110454
2022
Harris, Simon C, Horton, Emma, Kyprianou, Andreas E, Wang, Minmin and Unset (2022) Yaglom limit for critical nonlocal branching Markov processes. Annals of Probability, 50 (6). ISSN 00911798
OlivaresSanchez, Hector Raul, RodriguezMartinez, Carlos Manuel, CoronelBrizio, Hector Francisco, Scalas, Enrico, Seligman, Thomas Henry and HernandezMontoya, Alejandro Raul (2022) An empirical data analysis of "price runs" in daily financial indices: dynamically assessing market geometric distributional behavior. PLoS One, 17 (7). e0270492. ISSN 19326203
Cox, Alexander M G, Harris, Simon C, Kyprianou, Andreas E and Wang, Minmin (2022) Monte Carlo methods for the neutron transport equation. SIAMASA Journal on Uncertainty Quantification, 10 (2). ISSN 21662525
Georgiou, Nicos and Scalas, Enrico (2022) Bounds for mixing times for finite semiMarkov processes with heavytail jump distribution. Fractional Calculus and Applied Analysis, 25 (1). pp. 229243. ISSN 13110454
Little, Alex, Mezzadri, Francesco and Simm, Nick (2022) On the number of real eigenvalues of a product of truncated orthogonal random matrices. Electronic Journal of Probability, 27. a5 132. ISSN 10836489
2021
Kadankova, Tetyana, Leonenko, Nikolai and Scalas, Enrico (2021) Fractional nonhomogeneous Poisson and PólyaAeppli processes of order k and beyond. Communications in Statistics: Theory and Methods. ISSN 03610926
Eom, Cheoljun, Kaizoji, Taisei, Livan, Giacomo and Scalas, Enrico (2021) Limitations of portfolio diversification through fat tails of the return distributions: some empirical evidence. North American Journal of Economics and Finance, 56. a101358 117. ISSN 10629408
Cunden, Fabio Della, Dahlqvist, Antoine and O'Connell, Neil (2021) Integer moments of complex Wishart matrices and Hurwitz numbers. Annales De L'institut Henri Poincaré D. ISSN 23085827
Di Nardo, Elvira, Polito, Federico and Scalas, Enrico (2021) A fractional generalization of the Dirichlet distribution and related distributions. Fractional Calculus and Applied Analysis, 24 (1). pp. 112136. ISSN 13110454
Au, Benson, Cébron, Guillaume, Dahlqvist, Antoine, Gabriel, Franck and Male, Camille (2021) Freeness over the diagonal for large random matrices. Annals of Probability, 49 (1). pp. 157179. ISSN 00911798
2020
Dahlqvist, Antoine and Norris, James R (2020) YangMills measure and the master field on the sphere. Communication in Mathematical Physics, 377. pp. 11631226. ISSN 14320916
Deaño, Alfredo and Simm, Nick (2020) Characteristic polynomials of complex random matrices and Painlevé transcendents. International Mathematics Research Notices. ISSN 10737928
2019
Eom, Cheoljun, Kaizoji, Taisei and Scalas, Enrico (2019) Fat tails in financial return distributions revisited: evidence from the Korean stock market. Physica A Statistical Mechanics and its Applications, 526. p. 121055. ISSN 03784371
Ciech, Federico and Georgiou, Nicos (2019) Order of the variance in the discrete Hammersley process with boundaries. Journal of Statistical Physics. ISSN 00224715
Ponta, Linda, Trinh, Mailan, Raberto, Marco, Scalas, Enrico and Cincotti, Silvano (2019) Modeling nonstationarities in highfrequency financial time series. Physica A: Statistical Mechanics and its Applications, 521. pp. 173196. ISSN 03784371
Bjoernsson, Hjortur, Hafstein, Sigurdur, Giesl, Peter, Scalas, Enrico and Gudmundsson, Skuli (2019) Computation of the stochastic basin of attraction by rigorous construction of a Lyapunov function. Discrete and Continuous Dynamical Systems  Series B, 24 (8). pp. 42474269. ISSN 15313492
Leonenko, Nikolai, Scalas, Enrico and Trinh, Mailan (2019) Limit theorems for the fractional nonhomogeneous Poisson process. Journal of Applied Probability, 56 (1). pp. 246264. ISSN 00219002
Marckert, JeanFrançois and Wang, Minmin (2019) A new combinatorial representation of the additive coalescent. Random Structures and Algorithms, 54 (2). pp. 340370. ISSN 10429832
Deelan Cunden, Fabio, Mezzadri, Francesco, O'Connell, Neil and Simm, Nick (2019) Moments of random matrices and hypergeometric orthogonal polynomials. Communications in Mathematical Physics. ISSN 00103616
2018
Georgiou, Nicos, Khoshnevisan, Davar, Kim, Kunwoo and Ramos, Alex (2018) The dimension of the range of a transient random walk. Electronic Journal of Probability, 23 (83). pp. 131. ISSN 10836489
Georgiou, Nicos and Ortmann, Janosch (2018) Optimality regions and fluctuations for Bernoulli last passage models. Mathematical Physics, Analysis and Geometry, 21 (22). pp. 129. ISSN 13850172
Ashton, Stephen, Scalas, Enrico, Georgiou, Nicos and Kiss, István Zoltán (2018) The mathematics of human contact: developing a model for social interaction in school children. Acta Physica Polonica A, 133 (6). pp. 14211432. ISSN 05874246
Lambert, Gaultier, Ostrovsky, Dmitry and Simm, Nick (2018) Subcritical multiplicative chaos for regularized counting statistics from random matrix theory. Communications in Mathematical Physics, 360 (1). pp. 154. ISSN 00103616
Eom, Cheoljun, Kaizoji, Taisei, Park, Jong Won and Scalas, Enrico (2018) Realized FX volatility: statistical properties and applications. Future Research Korean Journal of Futures and Options, 26 (1). pp. 125. ISSN 1229988x
Collins, Benoît, Dahlqvist, Antoine and Kemp, Todd (2018) The spectral edge of unitary Brownian motion. Probability Theory and Related Fields, 170 (12). pp. 4993. ISSN 01788051
Chen, J M, Hawkes, A G, Scalas, E and Trinh, M (2018) Performance of information criteria for selection of Hawkes process models of financial data. Quantitative Finance, 18 (2). pp. 225235. ISSN 14697688
2017
Scalas, Enrico (2017) Continuoustime statistics and generalized relaxation equations. European Physical Journal B: Condensed Matter and Complex Systems, 90 (11). p. 209. ISSN 14346028
During, Bertram, Georgiou, Nicos and Scalas, Enrico (2017) A stylised model for wealth distribution. In: Akura, Yuji and Kirman, Alan (eds.) Economic Foundations of Social Complexity Science. Springer Singapore, Singapore, pp. 95117. ISBN 9789811057045
Broutin, Nicolas and Wang, Minmin (2017) Reversing the cut tree of the Brownian continuum random tree. Electronic Journal of Probability, 22 (80). pp. 123. ISSN 10836489
Cébron, Guillaume, Dahlqvist, Antoine and Gabriel, Franck (2017) The generalized master fields. Journal of Geometry and Physics, 119. 34  53. ISSN 03930440
Bierkens, Joris and Duncan, Andrew (2017) Limit theorems for the zigzag process. Advances in Applied Probability, 49 (03). pp. 791825. ISSN 00018678
Simm, Nick (2017) On the real spectrum of a product of Gaussian matrices. Electronic Communications in Probability, 22. a41 111. ISSN 1083589X
Deano, Alfredo and Simm, Nicholas (2017) On the probability of positivedefiniteness in the gGUE via semiclassical Laguerre polynomials. Journal of Approximation Theory, 220. pp. 4459. ISSN 00219045
Tsourtis, Anastasios, Harmandaris, Vagelis and Tsagkarogiannis, Dimitrios (2017) Parameterization of coarsegrained molecular interactions through potential of mean force calculations and cluster expansion techniques. Entropy, 19 (8). ISSN 10994300
Broutin, Nicolas and Wang, Minmin (2017) Cutting down ptrees and inhomogeneous continuum random trees. Bernoulli, 23 (4A). pp. 23802433. ISSN 13507265
Duquesne, Thomas and Wang, Minmin (2017) Decomposition of Lévy trees along their diameter. Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 53 (2). pp. 539593. ISSN 02460203
Kasprzak, Mikołaj J, Duncan, Andrew B and Vollmer, Sebastian J (2017) Note on A. Barbour’s paper on Stein’s method for diffusion approximations. Electronic Communications in Probability, 22 (3). pp. 18. ISSN 1083589X
Birmpa, P, Dirr, N and Tsagkarogiannis, D (2017) Large deviations for the macroscopic motion of an interface. Journal of Statistical Physics, 166 (5). pp. 11631192. ISSN 00224715
Simm, N J (2017) Central limit theorems for the real eigenvalues of large Gaussian random matrices. Random Matrices: Theory and Applications, 6. ISSN 20103263
2016
Scalas, Enrico (2016) Random exchange models and the distribution of wealth. European Physical Journal  Special Topics, 225. pp. 32933298. ISSN 19516355
Baleanu, Dumitru, Diethelm, Kai, Scalas, Enrico and Trujillo, Juan J (2016) Fractional calculus: models and numerical methods (2nd edition). Series on complexity, nonlinearity and chaos, 5 . World Scientific, Singapore. ISBN 9789813140035
Dahlqvist, Antoine (2016) Free Energies and fluctuations for the unitary Brownian motion. Communications in Mathematical Physics, 348 (2). pp. 395444. ISSN 00103616
Deelan Cunden, Fabio, Mezzadri, Francesco, Simm, Nick and Vivo, Pierpaolo (2016) LargeN expansion for the timedelay matrix of ballistic chaotic cavities. Journal of Mathematical Physics, 57 (11901). pp. 116. ISSN 00222488
Wang, Minmin (2016) Scaling limits for a family of unrooted trees. Latin American Journal of Probability and Mathematical Statistics, 13 (2). pp. 10391067. ISSN 19800436
Duncan, A B, Kalliadasis, S, Pavliotis, G A and Pradas, M (2016) Noiseinduced transitions in rugged energy landscapes. Physical Review E, 94 (3). 032107. ISSN 24700045
Duncan, Andrew, Erban, Radek and Zygalakis, Konstantinos (2016) Hybrid framework for the simulation of stochastic chemical kinetics. Journal of Computational Physics, 326. pp. 398419. ISSN 00219991
Georgiou, Nicos, RassoulAgha, Firas and Seppäläinen, Timo (2016) Geodesics and the competition interface for the corner growth model. Probability Theory and Related Fields, 169 (12). pp. 223255. ISSN 01788051
Fyodorov, Y V and Simm, N J (2016) On the distribution of maximum value of the characteristic polynomial of GUE random matrices. Nonlinearity, 29. pp. 28372855. ISSN 09517715
Georgiou, Nicos, RassoulAgha, Firas and Seppäläinen, Timo (2016) Stationary cocycles and Busemann functions for the corner growth model. Probability Theory and Related Fields, 169 (12). pp. 177222. ISSN 01788051
Jansen, Sabine (2016) Continuum percolation for Gibbsian point processes with attractive interactions. Electronic Journal of Probability, 21. p. 47. ISSN 10836489
Den Hollander, F and Jansen, S (2016) BermanKonsowa principle for reversible Markov jump processes. Markov Processes and Related Fields, 22 (3). pp. 409422. ISSN 10242953
Fyodorov, Y V, Khoruzhenko, B A and Simm, N J (2016) Fractional Brownian motion with Hurst index H=0 and the Gaussian Unitary Ensemble. Annals of Probability, 44 (4). pp. 29803031. ISSN 00911798
Wang, Minmin (2016) Height and diameter of Brownian tree. Electronic Communications in Probability, 20 (88). pp. 115. ISSN 1083589X
Cunden, Fabio Deelan, Mezzadri, Francesco, Simm, Nick and Vivo, Pierpaolo (2016) Correlators for the Wigner–Smith timedelay matrix of chaotic cavities. Journal of Physics A: Mathematical and Theoretical, 49 (18). ISSN 17518113
Duncan, A B, Lelièvre, T and Pavliotis, G A (2016) Variance reduction Using nonreversible Langevin samplers. Journal of Statistical Physics, 163 (3). pp. 457491. ISSN 00224715
2015
Duncan, Andrew B (2015) Homogenization of lateral diffusion on a random surface. Multiscale Modeling and Simulation: A SIAM Interdisciplinary Journal, 13 (4). pp. 14781506. ISSN 15403459
Jansen, S (2015) Cluster and virial expansions for the multispecies tonks gas. Journal of Statistical Physics, 161 (5). pp. 12991323. ISSN 00224715
Duncan, Andrew, Liao, Shuohao, Vejchodský, Tomáš, Erban, Radek and Grima, Ramon (2015) Noiseinduced multistability in chemical systems: discrete versus continuum modeling. Physical Review E, 91 (4). 042111. ISSN 15393755
Jansen, Sabine, König, Wolfgang and Metzger, Bernd (2015) Large deviations for cluster size distributions in a continuous classical manybody system. Annals of Applied Probability, 25 (2). pp. 930973. ISSN 10505164
Mehta, Dhagash, Hauenstein, Jonathan D, Niemerg, Matthew, Simm, Nicholas J and Stariolo, Daniel A (2015) Energy landscape of the finitesize meanfield 2spin spherical model and topology trivialization. Physical Review E (PRE), 91. ISSN 15393755
Duncan, A M, Elliott, C M, Pavliotis, G A and Stuart, A M (2015) A multiscale analysis of diffusions on rapidly varying surfaces. Journal of Nonlinear Science, 25 (2). pp. 389449. ISSN 09388974
2014
Ercolani, Nicholas, Jansen, Sabine and Ueltschi, Daniel (2014) Random partitions in statistical mechanics. Electronic Journal of Probability, 19. p. 82. ISSN 10836489
Jansen, Sabine and Kurt, Noemi (2014) On the notion(s) of duality for Markov processes. Probability Surveys, 11. pp. 59120. ISSN 15495787
Jansen, S and Jung, P (2014) Wigner crystallization in the quantum 1D jellium at all densities. Communications in Mathematical Physics, 331 (3). pp. 11331154. ISSN 00103616
Jansen, Sabine, Tate, Stephen J, Tsagkarogiannis, Dimitrios and Ueltschi, Daniel (2014) Multispecies virial expansions. Communications in Mathematical Physics, 330 (2). pp. 801817. ISSN 00103616
2013
Mezzadri, F and Simm, N J (2013) Taufunction theory of chaotic quantum transport with β = 1, 2, 4. Communications in Mathematical Physics, 324 (2). pp. 465513. ISSN 00103616
2012
Ponta, Linda, Scalas, Enrico, Raberto, Marco and Cincotti, Silvano (2012) Statistical analysis and agentbased microstructure modeling of highfrequency financial trading. IEEE Journal of Selected Topics in Signal Processing, 6 (4). pp. 381387. ISSN 19324553
Livan, Giacomo, Inoue, Junichi and Scalas, Enrico (2012) On the nonstationarity of financial time series: impact on optimal portfolio selection. Journal of Statistical Mechanics: Theory and Experiment, 2012. P07025. ISSN 17425468
Scalas, Enrico and Viles, Noèlia (2012) On the convergence of quadratic variation for compound fractional Poisson processes. Fractional Calculus and Applied Analysis, 15 (2). pp. 314331. ISSN 13110454
Mezzadri, F and Simm, N (2012) Moments of the transmission eigenvalues, proper delay times and random matrix theory II. Journal of Mathematical Physics, 53 (5). 053504105350442. ISSN 00222488
2011
Brydges, David C, Dahlqvist, Antoine and Slade, Gordon (2011) The strong interaction limit of continuoustime weakly selfavoiding walk. Workshop on Probabilistic Techniques in Statistical Mechanics Celebrating the 65th Birthday of Erwin Bolthausen, Berlin, Germany, October 14–16, 2010. Published in: Deuschel, JeanDominique, Gentz, Barbara, König, Wolfgang, von Renesse, Max, Scheutzow, Michael and Schmock, Uwe, (eds.) Probability in Complex Physical Systems. 11 275287. Springer Berlin Heidelberg, Berlin. ISSN 21905614 ISBN 9783642238109