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Price–volume multifractal analysis and its application in Chinese stock markets
16 references·5 citing·27 second hop
Price–volume multifractal analysis and its application in Chinese stock markets (2012)Price–volume multifractal analysis and it…Time-lag cross-correlations in collective phenomena (2010)Time-lag cross-correlations i…Cross-correlations between Chinese A-share and B-share markets (2010)Cross-correlations between Ch…Measuring multifractality of stock price fluctuation using multifractal detrended fluctuation analysis (2009)Measuring multifractality of …Cross-correlations between volume change and price change (2009)Cross-correlations between vo…Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Multifractal detrended cross-…Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series (2008)Detrended Cross-Correlation A…Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions (2004)Evidence of long range depend…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Universal and Nonuniversal Pr…Noise Dressing of Financial Correlation Matrices (1999)Noise Dressing of Financial C…The variation of certain speculative prices (1997)The variation of certain spec…Scaling behaviour in the dynamics of an economic index (1995)Scaling behaviour in the dyna…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry (2020)The influence of the COVID-19…Multifractal behavior of price and volume changes in the cryptocurrency market (2019)Multifractal behavior of pric…Nonlinear structure analysis of carbon and energy markets with MFDCCA based on maximum overlap wavelet transform (2015)Nonlinear structure analysis …Multifractal properties of price change and volume change of stock market indices (2015)Multifractal properties of pr…The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate (2013)The valuation of equity warra…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)Power Laws in Economics and Finance (2009)Fractional Differencing (1981)DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)Fractional Brownian Motions, Fractional Noises and Applications (1968)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Modern Portfolio Theory and Investment Analysis. (1982)Introduction to Econophysics (1999)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Random matrix approach to cross correlations in financial data (2002)Dynamics of market correlations: Taxonomy and portfolio analysis (2003)Portfolio Selection: Efficient Diversification of Investments. (1962)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Physical approach to complex systems (2012)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)
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References

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  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
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  • 1995Scaling behaviour in the dynamics of an economic index1,754 cited
  • 2008Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series1,476 cited
  • 1999Noise Dressing of Financial Correlation Matrices1,244 cited
  • 1999Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series1,017 cited
  • 2008Multifractal detrended cross-correlation analysis for two nonstationary signals769 cited
  • 2009Cross-correlations between volume change and price change631 cited
  • 2010Time-lag cross-correlations in collective phenomena217 cited
  • 2009Measuring multifractality of stock price fluctuation using multifractal detrended fluctuation analysis199 cited
  • 2004Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions

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183 cited
  • 2010Cross-correlations between Chinese A-share and B-share markets173 cited
  • Cited by

    • 2020The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry92 cited
    • 2019Multifractal behavior of price and volume changes in the cryptocurrency market77 cited
    • 2015Nonlinear structure analysis of carbon and energy markets with MFDCCA based on maximum overlap wavelet transform76 cited
    • 2015Multifractal properties of price change and volume change of stock market indices72 cited
    • 2013The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate29 cited