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Multifractal geometry in stock market time series
14 references·1 citing·36 second hop
Multifractal geometry in stock market time series (2003)Multifractal geometry in stock market tim…Scaling and correlation in financial time series (2000)Scaling and correlation in fi…MULTIFRACTAL FLUCTUATIONS IN FINANCE (2000)MULTIFRACTAL FLUCTUATIONS IN …Modelling fluctuations of financial time series: from cascade process to stochastic volatility model (2000)Modelling fluctuations of fin…Statistical properties of the volatility of price fluctuations (1999)Statistical properties of the…Introduction to Econophysics (1999)Introduction to Econophysics”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…Scaling in currency exchange (1997)Scaling in currency exchangeCausal 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…On the Distribution of Stock Price Differences (1967)On the Distribution of Stock …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Scale invariant distribution and multifractality of volatility multipliers in stock markets (2007)Scale invariant distribution …Fractals and Scaling in Finance: Discontinuity, Concentration, Risk (1998)Self-organized percolation model for stock market fluctuations (1999)Econophysics: financial time series from a statistical physics point of view (2000)How to Quantify Deterministic and Random Influences on the Statistics of the Foreign Exchange Market (2000)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Institutional Investors and Stock Market Volatility (2006)Cross-correlations between volume change and price change (2009)Physical approach to complex systems (2012)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)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)Scaling of the distribution of price fluctuations of individual companies (1999)Multifractal analysis of financial markets: a review (2019)Brownian Motion in the Stock Market (1959)The Behavior of Stock-Market Prices (1965)Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis (1990)Multifractality in Asset Returns: Theory and Evidence (2002)Cross-Section Regression with Common Shocks (2005)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)Correlations in economic time series (1997)Volatility distribution in the S&P500 stock index (1997)Approaching complexity by stochastic methods: From biological systems to turbulence (2011)Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Empirical distributions of stock returns: between the stretched exponential and the power law? (2005)Multifractal methodology (2017)Scaling of the distribution of fluctuations of financial market indices (1999)A tool for filtering information in complex systems (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
this work references cited by second hop

References

  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1999Introduction to Econophysics1,831 cited
  • 1995Scaling behaviour in the dynamics of an economic index1,754 cited
  • 1999Statistical properties of the volatility of price fluctuations730 cited
  • 1996Turbulent cascades in foreign exchange markets643 cited
  • 1967On the Distribution of Stock Price Differences529 cited
  • 1996Turbulence and financial markets358 cited
  • 2000Modelling fluctuations of financial time series: from cascade process to stochastic volatility model301 cited
  • 1998”Direct” causal cascade in the stock market239 cited
  • 1997Causal cascade in the stock market from the ``infrared'' to the ``ultraviolet''147 cited
  • 2000Scaling and correlation in financial time series143 cited
  • 1997Scaling in currency exchange107 cited
  • 2000MULTIFRACTAL FLUCTUATIONS IN FINANCE78 cited

Cited by

  • 2007Scale invariant distribution and multifractality of volatility multipliers in stock markets62 cited

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