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Scaling characteristics in the Taiwan stock market
16 references·0 citing·26 second hop
Scaling characteristics in the Taiwan stock market (2003)Scaling characteristics in the Taiwan sto…Multifractal analysis of Hang Seng index in Hong Kong stock market (2001)Multifractal analysis of Hang…Modelling financial time series using multifractal random walks (2001)Modelling financial time seri…Apparent multifractality in financial time series (2000)Apparent multifractality in f…Introduction to Econophysics (1999)Introduction to EconophysicsA Multifractal Walk down Wall Street (1999)A Multifractal Walk down Wall…Dynamic numerical models of stock market price: from microscopic determinism to macroscopic randomness (1998)Dynamic numerical models of s…”Direct” causal cascade in the stock market (1998)”Direct” causal cascade in th…The variation of certain speculative prices (1997)The variation of certain spec…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…Turbulence and financial markets (1996)Turbulence and financial mark…Scaling behaviour in the dynamics of an economic index (1995)Scaling behaviour in the dyna…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)The Behavior of Stock-Market Prices (1965)Scaling and criticality in a stochastic multi-agent model of a financial market (1999)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Empirical properties of asset returns: stylized facts and statistical issues (2001)ARCH modeling in finance (1992)A Simple Approximate Long-Memory Model of Realized Volatility (2008)The Analysis of Economic Time-Series-Part I: Prices (1953)The Random Character of Stock Market Prices (1968)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)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)Correlations in economic time series (1997)Approaching complexity by stochastic methods: From biological systems to turbulence (2011)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Multifractal detrended fluctuation analysis of nonstationary time series (2002)Financial markets under the global pandemic of COVID-19 (2020)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 1963The Variation of Certain Speculative Prices4,890 cited
  • 1997The variation of certain speculative prices4,513 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1999Introduction to Econophysics1,919 cited
  • 1995Scaling behaviour in the dynamics of an economic index1,754 cited
  • 1996Turbulent cascades in foreign exchange markets643 cited
  • 1999A Multifractal Walk down Wall Street361 cited
  • 1996Turbulence and financial markets358 cited
  • 1998”Direct” causal cascade in the stock market239 cited
  • 2000Apparent multifractality in financial time series153 cited
  • 1997Causal cascade in the stock market from the ``infrared'' to the ``ultraviolet''147 cited
  • 2001Multifractal analysis of Hang Seng index in Hong Kong stock market118 cited
  • 2001Modelling financial time series using multifractal random walks107 cited
  • 1998

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Dynamic numerical models of stock market price: from microscopic determinism to macroscopic randomness
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