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Modified DFA and DCCA approach for quantifying the multiscale correlation structure of financial markets
16 references·0 citing·25 second hop
Modified DFA and DCCA approach for quantifying the multiscale correlation structure of financial markets (2013)Modified DFA and DCCA approach for quanti…Statistical tests for power-law cross-correlated processes (2011)Statistical tests for power-l…Detrending moving average algorithm for multifractals (2010)Detrending moving average alg…Quantifying cross-correlations using local and global detrending approaches (2009)Quantifying cross-correlation…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…Second-order moving average and scaling of stochastic time series (2002)Second-order moving average a…Random matrix approach to cross correlations in financial data (2002)Random matrix approach to cro…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…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 EconophysicsHierarchical structure in financial markets (1999)Hierarchical structure in fin…Scaling behaviour in the dynamics of an economic index (1995)Scaling behaviour in the dyna…Fractal Market Analysis: Applying Chaos Theory to Investment and Economics (1994)Fractal Market Analysis: Appl…Chaos and order in the capital markets (1991)Chaos and order in the capita…Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Physical approach to complex systems (2012)Statistical physics of human cooperation (2017)The Variation of Certain Speculative Prices (1963)The Behavior of Stock-Market Prices (1965)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)Empirical properties of asset returns: stylized facts and statistical issues (2001)Detecting long-range correlations with detrended fluctuation analysis (2001)Effect of trends on detrended fluctuation analysis (2001)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Fractional Differencing (1981)Modern Portfolio Theory and Investment Analysis. (1982)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Portfolio Selection: Efficient Diversification of Investments. (1962)Options, Futures, and Other Derivative Securities. (1990)072103 (E50, M20) Option pricing by Esscher transforms (1995)A test for independence based on the correlation dimension (1996)Behavioral Finance and Its Implications for Stock-Price Volatility (1998)DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)A tool for filtering information in complex systems (2005)Deep learning networks for stock market analysis and prediction: Methodology, data representations, and case studies (2017)Financial markets under the global pandemic of COVID-19 (2020)
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424 cited
  • 2002Second-order moving average and scaling of stochastic time series408 cited
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