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Comparison study of global and local approaches describing critical phenomena on the Polish stock exchange market
16 references·4 citing·41 second hop
Comparison study of global and local approaches describing critical phenomena on the Polish stock exchange market (2008)Comparison study of global and local appr…Forbidden patterns, permutation entropy and stock market inefficiency (2009)Forbidden patterns, permutati…Effect of nonlinear filters on detrended fluctuation analysis (2005)Effect of nonlinear filters o…Time-dependent Hurst exponent in financial time series (2004)Time-dependent Hurst exponent…Can one make any crash prediction in finance using the local Hurst exponent idea? (2004)Can one make any crash predic…Effect of nonstationarities on detrended fluctuation analysis (2002)Effect of nonstationarities o…Effect of trends on detrended fluctuation analysis (2001)Effect of trends on detrended…Detecting long-range correlations with detrended fluctuation analysis (2001)Detecting long-range correlat…Price variations in a stock market with many agents (1997)Price variations in a stock m…Large financial crashes (1997)Large financial crashesCorrelations in economic time series (1997)Correlations in economic time…Stock Market Crashes, Precursors and Replicas (1996)Stock Market Crashes, Precurs…DISCRETE SCALE INVARIANCE IN STOCK MARKETS BEFORE CRASHES (1996)DISCRETE SCALE INVARIANCE IN …Scaling behaviour in the dynamics of an economic index (1995)Scaling behaviour in the dyna…The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes (1994)The Black-Scholes option pric…Some long‐run properties of geophysical records (1969)Some long‐run properties of g…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Dynamical Variety of Shapes in Financial Multifractality (2018)Dynamical Variety of Shapes i…EFFICIENT MARKETS AND BEHAVIORAL FINANCE: A COMPREHENSIVE MULTIFRACTIONAL MODEL (2015)EFFICIENT MARKETS AND BEHAVIO…The use of the Hurst exponent to predict changes in trends on the Warsaw Stock Exchange (2010)The use of the Hurst exponent…Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals (2010)Rescaled Range Analysis and D…Long-Term Storage: An Experimental Study. 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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
  • 2001Detecting long-range correlations with detrended fluctuation analysis1,401 cited
  • 2001Effect of trends on detrended fluctuation analysis1,285 cited
  • 1969Some long‐run properties of geophysical records991 cited
  • 2002Effect of nonstationarities on detrended fluctuation analysis958 cited
  • 2004Time-dependent Hurst exponent in financial time series403 cited
  • 1996Stock Market Crashes, Precursors and Replicas403 cited
  • 1997Price variations in a stock market with many agents398 cited
  • 1997Correlations in economic time series313 cited
  • 1997Large financial crashes277 cited
  • 2004Can one make any crash prediction in finance using the local Hurst exponent idea?252 cited
  • 2009Forbidden patterns, permutation entropy and stock market inefficiency249 cited
  • 2005Effect of nonlinear filters on detrended fluctuation analysis243 cited
  • 1996DISCRETE SCALE INVARIANCE IN STOCK MARKETS BEFORE CRASHES198 cited
  • 1994The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes

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169 cited

Cited by

  • 2010Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals68 cited
  • 2010The use of the Hurst exponent to predict changes in trends on the Warsaw Stock Exchange62 cited
  • 2018Dynamical Variety of Shapes in Financial Multifractality57 cited
  • 2015EFFICIENT MARKETS AND BEHAVIORAL FINANCE: A COMPREHENSIVE MULTIFRACTIONAL MODEL22 cited