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Multifractal analysis of Hang Seng index in Hong Kong stock market
6 references·9 citing·43 second hop
Multifractal analysis of Hang Seng index in Hong Kong stock market (2001)Multifractal analysis of Hang Seng index …Toward a theory of marginally efficient markets (1999)Toward a theory of marginally…A Multifractal Walk down Wall Street (1999)A Multifractal Walk down Wall…Power Law Scaling for a System of Interacting Units with Complex Internal Structure (1998)Power Law Scaling for a Syste…Scaling behaviour in the growth of companies (1996)Scaling behaviour in the grow…Scaling behaviour in the dynamics of an economic index (1995)Scaling behaviour in the dyna…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…A Modified Multifractal Detrended Fluctuation Analysis (MFDFA) Approach for Multifractal Analysis of Precipitation in Dongting Lake Basin, China (2019)A Modified Multifractal Detre…Which is the better forecasting model? A comparison between HAR-RV and multifractality volatility (2014)Which is the better forecasti…Financial market volatility and contagion effect: A copula–multifractal volatility approach (2013)Financial market volatility a…Price–volume multifractal analysis and its application in Chinese stock markets (2012)Price–volume multifractal ana…A copula–multifractal volatility hedging model for CSI 300 index futures (2011)A copula–multifractal volatil…Multifractality in stock indexes: Fact or Fiction? (2008)Multifractality in stock inde…Multifractal structure in Latin-American market indices (2008)Multifractal structure in Lat…Multifractal analysis of Chinese stock volatilities based on the partition function approach (2008)Multifractal analysis of Chin…Multifractal properties of Chinese stock market in Shanghai (2007)Multifractal properties of Ch…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Nonlinear structure analysis of carbon and energy markets with MFDCCA based on maximum overlap wavelet transform (2015)Multifractal behavior of price and volume changes in the cryptocurrency market (2019)The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry (2020)The Nature of the Firm (1937)A Behavioral Theory of the Firm (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Scaling of the distribution of price fluctuations of individual companies (1999)Statistical properties of the volatility of price fluctuations (1999)Cross-correlations between volume change and price change (2009)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)More statistical properties of order books and price impact (2003)Agent-based models of financial markets (2007)Physics and financial economics (1776–2014): puzzles, Ising and agent-based models (2014)The variation of certain speculative prices (1997)Multifractal detrended fluctuation analysis of nonstationary time series (2002)Generalized Hurst exponent and multifractal function of original and translated texts mapped into frequency and length time series (2012)Joint multifractal analysis based on the partition function approach: analytical analysis, numerical simulation and empirical application (2015)A long memory property of stock market returns and a new model (1993)A Long Memory Property of Stock Market Returns and a New Model (2010)Multifractal analysis on international crude oil markets based on the multifractal detrended fluctuation analysis (2010)MFDFA: Efficient multifractal detrended fluctuation analysis in python (2021)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)Human behavior and the principle of least effort (1949)Strategy and Structure: (1986)Strategy and Structure (1997)Volatility Clustering and Scaling for Financial Time Series due to Attractor Bubbling (2002)Do Pareto–Zipf and Gibrat laws hold true? An analysis with European firms (2004)The growth of business firms: Theoretical framework and empirical evidence (2005)Turbulent cascades in foreign exchange markets (1996)Are crude oil markets multifractal? Evidence from MF-DFA and MF-SSA perspectives (2010)Modified detrended fluctuation analysis based on empirical mode decomposition for the characterization of anti-persistent processes (2011)Multifractal analysis of Asian markets during 2007–2008 financial crisis (2014)Multifractal properties of price fluctuations of stocks and commodities (2003)A multifractal approach for stock market inefficiency (2008)The components of empirical multifractality in financial returns (2009)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)
this work references cited by second hop

References

  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1995Scaling behaviour in the dynamics of an economic index1,754 cited
  • 1996Scaling behaviour in the growth of companies783 cited
  • 1999A Multifractal Walk down Wall Street361 cited
  • 1998Power Law Scaling for a System of Interacting Units with Complex Internal Structure267 cited
  • 1999Toward a theory of marginally efficient markets193 cited

Cited by

  • 2008Multifractal structure in Latin-American market indices107 cited
  • 2008Multifractal analysis of Chinese stock volatilities based on the partition function approach107 cited
  • 2008Multifractality in stock indexes: Fact or Fiction?101 cited
  • 2012Price–volume multifractal analysis and its application in Chinese stock markets97 cited
  • 2019A Modified Multifractal Detrended Fluctuation Analysis (MFDFA) Approach for Multifractal Analysis of Precipitation in Dongting Lake Basin, China78 cited
  • 2007Multifractal properties of Chinese stock market in Shanghai74 cited
  • 2014Which is the better forecasting model? A comparison between HAR-RV and multifractality volatility44 cited
  • 2013Financial market volatility and contagion effect: A copula–multifractal volatility approach38 cited

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2011
A copula–multifractal volatility hedging model for CSI 300 index futures
30 cited