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Multi-fractal structure of traded volume in financial markets
13 references·0 citing·39 second hop
Multi-fractal structure of traded volume in financial markets (2006)Multi-fractal structure of traded volume …The Statistical Mechanics of Financial Markets (2003)The Statistical Mechanics of …Multifractal properties of price fluctuations of stocks and commodities (2003)Multifractal properties of pr…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…The Statistical Mechanics of Financial Markets (2001)The Statistical Mechanics of …Theory of financial risks : from statistical physics to risk management (2000)Theory of financial risks : f…Statistical properties of share volume traded in financial markets (2000)Statistical properties of sha…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…A Multifractal Walk down Wall Street (1999)A Multifractal Walk down Wall…”Direct” causal cascade in the stock market (1998)”Direct” causal cascade in th…Causal cascade in the stock market from the ``infrared'' to the ``ultraviolet'' (1997)Causal cascade in the stock m…Turbulent cascades in foreign exchange markets (1996)Turbulent cascades in foreign…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A long memory property of stock market returns and a new model (1993)Institutional Investors and Stock Market Volatility (2006)High-frequency trading in a limit order book (2008)How Markets Slowly Digest Changes in Supply and Demand (2009)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)Scaling of the distribution of price fluctuations of individual companies (1999)Dynamics of crowd disasters: An empirical study (2007)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Portfolio Selection: Efficient Diversification of Investments (1959)The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Random matrix approach to cross correlations in financial data (2002)The Behavior of Stock-Market Prices (1965)The Information Content of Annual Earnings Announcements (1968)Illiquidity and stock returns: cross-section and time-series effects (2002)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Measuring the Information Content of Stock Trades (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Detecting long-range correlations with detrended fluctuation analysis (2001)Effect of trends on detrended fluctuation analysis (2001)Wavelet versus detrended fluctuation analysis of multifractal structures (2006)Detrended cross-correlation analysis for non-stationary time series with periodic trends (2011)An introduction to statistical finance (2002)Theory of Financial Risk and Derivative Pricing (2003)Identifying States of a Financial Market (2012)Econophysics review: I. Empirical facts (2011)On the Modeling of Financial Time Series (2014)Multifractal analysis of financial markets: a review (2019)A multifractal approach for stock market inefficiency (2008)The components of empirical multifractality in financial returns (2009)Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Physical approach to complex systems (2012)
this work references cited by second hop

References

  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,650 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,342 cited
  • 1996Turbulent cascades in foreign exchange markets643 cited
  • 2000Theory of financial risks : from statistical physics to risk management439 cited
  • 1999A Multifractal Walk down Wall Street361 cited
  • 2001The Statistical Mechanics of Financial Markets353 cited
  • 2003Multifractal properties of price fluctuations of stocks and commodities343 cited
  • 2000Statistical properties of share volume traded in financial markets320 cited
  • 1998”Direct” causal cascade in the stock market239 cited
  • 2003The Statistical Mechanics of Financial Markets152 cited
  • 1997Causal cascade in the stock market from the ``infrared'' to the ``ultraviolet''147 cited

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