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Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets
15 references·3 citing·37 second hop
Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets (2007)Nonstationary increments, scaling distrib…A theory of non-Gaussian option pricing (2007)A theory of non-Gaussian opti…Student processes (2005)Student processesTime-dependent Hurst exponent in financial time series (2004)Time-dependent Hurst exponent…A comment on measuring the Hurst exponent of financial time series (2004)A comment on measuring the Hu…An empirical model of volatility of returns and option pricing (2003)An empirical model of volatil…How to Quantify Deterministic and Random Influences on the Statistics of the Foreign Exchange Market (2000)How to Quantify Deterministic…The variation of certain speculative prices (1997)The variation of certain spec…Scaling in Stock Market Data: Stable Laws and Beyond (1997)Scaling in Stock Market Data:…Scaling in currency exchange (1997)Scaling in currency exchangeTurbulent cascades in foreign exchange markets (1996)Turbulent cascades in foreign…Turbulence and financial markets (1996)Turbulence and financial mark…Scaling behaviour in the dynamics of an economic index (1995)Scaling behaviour in the dyna…Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis (1990)Statistical study of foreign …Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Using correlated stochastic differential equations to forecast cryptocurrency rates and social media activities (2020)Using correlated stochastic d…Martingale option pricing (2007)Martingale option pricingHurst exponents, Markov processes, and fractional Brownian motion (2006)Hurst exponents, Markov proce…The Behavior of Stock-Market Prices (1965)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)MULTIFRACTAL CROSS-CORRELATION ANALYSIS BASED ON STATISTICAL MOMENTS (2012)Measuring capital market efficiency: long-term memory, fractal dimension and approximate entropy (2014)Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone (2015)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)The dynamics of exchange rate volatility: A multivariate latent factor ARCH model (1989)Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development (2004)Multi-scaling in finance (2007)Multifractal analysis of financial markets: a review (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)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Power Laws in Economics and Finance (2009)ARCH modeling in finance (1992)Scaling of the distribution of price fluctuations of individual companies (1999)Physical approach to complex systems (2012)Generalized autoregressive conditional heteroskedasticity (1986)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Quantifying signals with power-law correlations: A comparative study of detrended fluctuation analysis and detrended moving average techniques (2005)Comparison of detrending methods for fluctuation analysis (2008)Detrended cross-correlation analysis for non-stationary time series with periodic trends (2011)Evidence of Markov properties of high frequency exchange rate data (2001)Application of nonlinear time series analysis techniques to high-frequency currency exchange data (2002)Market Fluctuations I: Scaling, Multiscaling, and Their Possible Origins (2002)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Correlations in economic time series (1997)Volatility distribution in the S&P500 stock index (1997)Approaching complexity by stochastic methods: From biological systems to turbulence (2011)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
this work references cited by second hop

References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1995Scaling behaviour in the dynamics of an economic index1,754 cited
  • 1996Turbulent cascades in foreign exchange markets643 cited
  • 1990Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis482 cited
  • 2004Time-dependent Hurst exponent in financial time series403 cited
  • 1996Turbulence and financial markets358 cited
  • 2000How to Quantify Deterministic and Random Influences on the Statistics of the Foreign Exchange Market205 cited
  • 2004A comment on measuring the Hurst exponent of financial time series172 cited
  • 1997Scaling in Stock Market Data: Stable Laws and Beyond146 cited
  • 2005Student processes107 cited
  • 2007A theory of non-Gaussian option pricing107 cited
  • 1997Scaling in currency exchange107 cited
  • 2003An empirical model of volatility of returns and option pricing42 cited

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  • 2006Hurst exponents, Markov processes, and fractional Brownian motion75 cited
  • 2020Using correlated stochastic differential equations to forecast cryptocurrency rates and social media activities38 cited
  • 2007Martingale option pricing26 cited