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Cross-sample entropy statistic as a measure of synchronism and cross-correlation of stock markets
12 references·2 citing·31 second hop
Cross-sample entropy statistic as a measure of synchronism and cross-correlation of stock markets (2012)Cross-sample entropy statistic as a measu…The Economy as an Evolving Complex System II (2018)The Economy as an Evolving Co…Theory of financial risk (2011)Theory of financial riskThe cross-correlations of stock markets based on DCCA and time-delay DCCA (2011)The cross-correlations of sto…Information flow between composite stock index and individual stocks (2008)Information flow between comp…Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series (2008)Detrended Cross-Correlation A…Analysing the information flow between financial time series (2002)Analysing the information flo…Identification of clusters of companies in stock indices via Potts super-paramagnetic transitions (2000)Identification of clusters of…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…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…Introduction to Econophysics (1999)Introduction to EconophysicsScaling behaviour in the dynamics of an economic index (1995)Scaling behaviour in the dyna…Regional and global integration of Asian stock markets (2019)Regional and global integrati…Hybrid Markov Location Prediction Algorithm Based on Dynamic Social Ties (2015)Hybrid Markov Location Predic…Effect of trends on detrended fluctuation analysis (2001)Multifractal detrended cross-correlation analysis for power markets (2013)Multiscale multifractal detrended cross-correlation analysis of financial time series (2014)A New Methodology of Spatial Cross-Correlation Analysis (2015)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)Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Cross-correlations between volume change and price change (2009)DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)Modern Portfolio Theory and Investment Analysis. (1982)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 (1959)The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Portfolio Selection: Efficient Diversification of Investments. (1962)Identifying States of a Financial Market (2012)Collective behavior of cryptocurrency price changes (2018)Econophysics and sociophysics: Their milestones & challenges (2018)When Effect Becomes Cause: Policy Feedback and Political Change (1993)A Postcapitalist Politics (2006)Evolutionary games on graphs (2007)Directionality of coupling from bivariate time series: How to avoid false causalities and missed connections (2007)Widespread Worry and the Stock Market (2010)RTransferEntropy — Quantifying information flow between different time series using effective transfer entropy (2019)Scaling of the distribution of fluctuations of financial market indices (1999)A tool for filtering information in complex systems (2005)
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References

  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,342 cited
  • 2018The Economy as an Evolving Complex System II2,313 cited
  • 1999Introduction to Econophysics1,831 cited
  • 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
  • 2002Analysing the information flow between financial time series448 cited
  • 2011Theory of financial risk122 cited
  • 2011The cross-correlations of stock markets based on DCCA and time-delay DCCA97 cited
  • 2008Information flow between composite stock index and individual stocks93 cited
  • 2000Identification of clusters of companies in stock indices via Potts super-paramagnetic transitions90 cited

Cited by

  • 2019Regional and global integration of Asian stock markets25 cited
  • 2015Hybrid Markov Location Prediction Algorithm Based on Dynamic Social Ties4 cited

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