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Statistical Properties of the Foreign Exchange Network at Different Time Scales: Evidence from Detrended Cross-Correlation Coefficient and Minimum Spanning Tree
16 references·9 citing·21 second hop
Statistical Properties of the Foreign Exchange Network at Different Time Scales: Evidence from Detrended Cross-Correlation Coefficient and Minimum Spanning Tree (2013)Statistical Properties of the Foreign Exc…Power-law distributions in empirical data (2018)Power-law distributions in em…Physical approach to complex systems (2012)Physical approach to complex …DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)DCCA cross-correlation coeffi…Power-Law Distributions in Empirical Data (2009)Power-Law Distributions in Em…Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Multifractal detrended cross-…Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series (2008)Detrended Cross-Correlation A…A tool for filtering information in complex systems (2005)A tool for filtering informat…Dynamics of market correlations: Taxonomy and portfolio analysis (2003)Dynamics of market correlatio…Random matrix approach to cross correlations in financial data (2002)Random matrix approach to cro…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Universal and Nonuniversal Pr…Noise Dressing of Financial Correlation Matrices (1999)Noise Dressing of Financial C…Introduction to Econophysics (1999)Introduction to EconophysicsHierarchical structure in financial markets (1999)Hierarchical structure in fin…Scaling behaviour in the dynamics of an economic index (1995)Scaling behaviour in the dyna…Dynamic Properties of Foreign Exchange Complex Network (2019)Dynamic Properties of Foreign…Stock market as temporal network (2018)Stock market as temporal netw…Empirical Analyses of Networks in Finance (2018)Empirical Analyses of Network…Detrended correlation coefficients between oil and stock markets: The effect of the 2008 crisis (2018)Detrended correlation coeffic…Econophysics: Past and present (2017)Econophysics: Past and presentQuantifying the contagion effect of the 2008 financial crisis between the G7 countries (by GDP nominal) (2016)Quantifying the contagion eff…Multiscale correlation networks analysis of the US stock market: a wavelet analysis (2016)Multiscale correlation networ…Quantifying cross-correlation between Ibovespa and Brazilian blue-chips: The DCCA approach (2015)Quantifying cross-correlation…Correlation structure and dynamics of international real estate securities markets: A network perspective (2015)Correlation structure and dyn…How popular is your paper? An empirical study of the citation distribution (1998)Power laws, Pareto distributions and Zipf's law (2005)Friendship and mobility (2011)Evolutionary dynamics of group interactions on structured populations: a review (2013)Weaponized Interdependence: How Global Economic Networks Shape State Coercion (2019)Théorie de la spéculation (1900)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Scaling and criticality in a stochastic multi-agent model of a financial market (1999)Power Laws in Economics and Finance (2009)Fractional Differencing (1981)Cross-correlations between volume change and price change (2009)Modern Portfolio Theory and Investment Analysis. (1982)Portfolio Selection: Efficient Diversification of Investments (1959)The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Portfolio Selection: Efficient Diversification of Investments. (1962)Error and the Growth of Experimental Knowledge (1996)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Deep learning networks for stock market analysis and prediction: Methodology, data representations, and case studies (2017)Scaling of the distribution of fluctuations of financial market indices (1999)
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References

  • 2009Power-Law Distributions in Empirical Data8,008 cited
  • 2018Power-law distributions in empirical data6,499 cited
  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,650 cited
  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,342 cited
  • 1999Hierarchical structure in financial markets2,073 cited
  • 1999Introduction to Econophysics1,831 cited
  • 1995Scaling behaviour in the dynamics of an economic index1,754 cited
  • 2008Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series1,476 cited
  • 1999Noise Dressing of Financial Correlation Matrices1,244 cited
  • 1999Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series1,017 cited
  • 2002Random matrix approach to cross correlations in financial data936 cited
  • 2005A tool for filtering information in complex systems902 cited
  • 2008Multifractal detrended cross-correlation analysis for two nonstationary signals769 cited
  • 2003Dynamics of market correlations: Taxonomy and portfolio analysis767 cited
  • 2010DCCA cross-correlation coefficient: Quantifying level of cross-correlation611 cited

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  • 2012Physical approach to complex systems517 cited
  • Cited by

    • 2016Multiscale correlation networks analysis of the US stock market: a wavelet analysis90 cited
    • 2018Stock market as temporal network87 cited
    • 2016Quantifying the contagion effect of the 2008 financial crisis between the G7 countries (by GDP nominal)74 cited
    • 2015Correlation structure and dynamics of international real estate securities markets: A network perspective70 cited
    • 2015Quantifying cross-correlation between Ibovespa and Brazilian blue-chips: The DCCA approach68 cited
    • 2019Dynamic Properties of Foreign Exchange Complex Network61 cited
    • 2017Econophysics: Past and present61 cited
    • 2018Detrended correlation coefficients between oil and stock markets: The effect of the 2008 crisis55 cited
    • 2018Empirical Analyses of Networks in Finance36 cited