SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The local Hurst exponent of the financial time series in the vicinity of crashes on the Polish stock exchange market
13 references·16 citing·43 second hop
The local Hurst exponent of the financial time series in the vicinity of crashes on the Polish stock exchange market (2008)The local Hurst exponent of the financial…Effect of nonlinear filters on detrended fluctuation analysis (2005)Effect of nonlinear filters o…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…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…Coherent and random sequences in financial fluctuations (1997)Coherent and random sequences…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…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Forecasting price of financial market crash via a new nonlinear potential GARCH model (2020)Forecasting price of financia…Market efficiency of traditional stock market indices and social responsible indices: the role of sustainability reporting (2017)Market efficiency of traditio…Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates (2017)Estimation of time-dependent …Long memory in international financial markets trends and short movements during 2008 financial crisis based on variational mode decomposition and detrended fluctuation analysis (2015)Long memory in international …The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion (2014)The impact of the 2008 and 20…Behavior of financial markets efficiency during the financial market crisis: 2007 – 2009 (2014)Behavior of financial markets…Multifractal detrended cross-correlation analysis between the Chinese stock market and surrounding stock markets (2012)Multifractal detrended cross-…Information technology investment announcements and market value in transition economies: Evidence from Warsaw Stock Exchange (2012)Information technology invest…FRACTAL MARKETS HYPOTHESIS AND THE GLOBAL FINANCIAL CRISIS: SCALING, INVESTMENT HORIZONS AND LIQUIDITY (2012)FRACTAL MARKETS HYPOTHESIS AN…Cross-correlations between Renminbi and four major currencies in the Renminbi currency basket (2012)Cross-correlations between Re…Multifractal detrending moving average analysis on the US Dollar exchange rates (2011)Multifractal detrending movin…Are European equity markets efficient? New evidence from fractal analysis (2011)Are European equity markets e…The use of the Hurst exponent to predict changes in trends on the Warsaw Stock Exchange (2010)The use of the Hurst exponent…Commodity predictability analysis with a permutation information theory approach (2010)Commodity predictability anal…Unifractality and multifractality in the Italian stock market (2009)Unifractality and multifracta…Comparison study of global and local approaches describing critical phenomena on the Polish stock exchange market (2008)Comparison study of global an…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)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A long memory property of stock market returns and a new model (1993)Forbidden patterns, permutation entropy and stock market inefficiency (2009)Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency (2010)Multiscale characteristics of the emerging global cryptocurrency market (2020)Efficient Capital Markets: II (1991)Finite-time singularity in the dynamics of the world population, economic and financial indices (2001)Is there a real-estate bubble in the US? (2005)The 2006–2008 oil bubble: Evidence of speculation, and prediction (2009)The Economy as an Evolving Complex System II (2018)Human behavior and the principle of least effort (1949)Competing Technologies, Increasing Returns, and Lock-In by Historical Events (1989)Noise Trader Risk in Financial Markets (1990)A Langevin approach to stock market fluctuations and crashes (1998)Statistical properties of stock order books: empirical results and models (2002)Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Detecting long-range correlations with detrended fluctuation analysis (2001)Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Cross-correlations between volume change and price change (2009)ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY (1995)DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)Statistical tests for power-law cross-correlated processes (2011)Multifractal analysis of financial markets: a review (2019)Fractional Brownian Motions, Fractional Noises and Applications (1968)Volatility distribution in the S&P500 stock index (1997)Establishing the relation between detrended fluctuation analysis and power spectral density analysis for stochastic processes (2000)Time-lag cross-correlations in collective phenomena (2010)Positive Feedbacks in the Economy (1990)Continuous-Time Finance. (1991)Continuous-Time Finance. (1991)Predicting financial crashes using discrete scale invariance (1999)Critical market crashes (2003)Introduction to Econophysics (1999)Scaling properties of air pollution in Athens, Greece and Baltimore, Maryland (2005)Fractal and Multifractal Time Series (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
  • 2001Effect of trends on detrended fluctuation analysis1,285 cited
  • 2002Effect of nonstationarities on detrended fluctuation analysis958 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
  • 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 processes169 cited
  • 1997Coherent and random sequences in financial fluctuations163 cited

Cited by

  • 2011Multifractal detrending moving average analysis on the US Dollar exchange rates111 cited
  • 2012Multifractal detrended cross-correlation analysis between the Chinese stock market and surrounding stock markets

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

110 cited
  • 2015Long memory in international financial markets trends and short movements during 2008 financial crisis based on variational mode decomposition and detrended fluctuation analysis105 cited
  • 2012FRACTAL MARKETS HYPOTHESIS AND THE GLOBAL FINANCIAL CRISIS: SCALING, INVESTMENT HORIZONS AND LIQUIDITY105 cited
  • 2014The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion92 cited
  • 2010Commodity predictability analysis with a permutation information theory approach89 cited
  • 2009Unifractality and multifractality in the Italian stock market73 cited
  • 2008Comparison study of global and local approaches describing critical phenomena on the Polish stock exchange market70 cited
  • 2011Are European equity markets efficient? New evidence from fractal analysis68 cited
  • 2012Cross-correlations between Renminbi and four major currencies in the Renminbi currency basket65 cited
  • 2017Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates64 cited
  • 2010The use of the Hurst exponent to predict changes in trends on the Warsaw Stock Exchange62 cited
  • 2012Information technology investment announcements and market value in transition economies: Evidence from Warsaw Stock Exchange36 cited
  • 2017Market efficiency of traditional stock market indices and social responsible indices: the role of sustainability reporting36 cited
  • 2020Forecasting price of financial market crash via a new nonlinear potential GARCH model27 cited
  • 2014Behavior of financial markets efficiency during the financial market crisis: 2007 – 200926 cited