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Scaling, self-similarity and multifractality in FX markets
14 references·8 citing·36 second hop
Scaling, self-similarity and multifractality in FX markets (2003)Scaling, self-similarity and multifractal…Multifractality in Asset Returns: Theory and Evidence (2002)Multifractality in Asset Retu…Stochastic volatility as a simple generator of apparent financial power laws and long memory (2001)Stochastic volatility as a si…Scaling properties of foreign exchange volatility (2001)Scaling properties of foreign…An Introduction to High-Frequency Finance (2001)An Introduction to High-Frequ…Statistical properties of the volatility of price fluctuations (1999)Statistical properties of the…Multifractal analysis of foreign exchange data (1999)Multifractal analysis of fore…Fractals and Scaling in Finance: Discontinuity, Concentration, Risk (1998)Fractals and Scaling in Finan…The variation of certain speculative prices (1997)The variation of certain spec…From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)From the bird's eye to the mi…Scaling behaviour in the dynamics of an economic index (1995)Scaling behaviour in the dyna…Chaos and order in the capital markets: a new view of cycles, prices, and market volatility (1992)Chaos and order in the capita…Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis (1990)Statistical study of foreign …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Signatures of the Crypto-Currency Market Decoupling from the Forex (2019)Signatures of the Crypto-Curr…An optimized SVM-k-NN currency exchange forecasting model for Indian currency market (2017)An optimized SVM-k-NN currenc…Multiscale correlation networks analysis of the US stock market: a wavelet analysis (2016)Multiscale correlation networ…Investment horizon heterogeneity and wavelet: Overview and further research directions (2015)Investment horizon heterogene…Multifractality and value-at-risk forecasting of exchange rates (2014)Multifractality and value-at-…Measuring daily Value-at-Risk of SSEC index: A new approach based on multifractal analysis and extreme value theory (2013)Measuring daily Value-at-Risk…A copula–multifractal volatility hedging model for CSI 300 index futures (2011)A copula–multifractal volatil…Scale invariant distribution and multifractality of volatility multipliers in stock markets (2007)Scale invariant distribution …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Institutional Investors and Stock Market Volatility (2006)Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011)Social physics (2022)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)Cross-correlations between volume change and price change (2009)Physical approach to complex systems (2012)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)The dynamics of exchange rate volatility: A multivariate latent factor ARCH model (1989)Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development (2004)Multi-scaling in finance (2007)Multifractal analysis of financial markets: a review (2019)Théorie de la spéculation (1900)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)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Stock market prediction with multiple classifiers (2006)Some comments on Hurst exponent and the long memory processes on capital markets (2008)On the Efficiency of Foreign Exchange Markets in Times of the COVID-19 Pandemic (2020)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)”Direct” causal cascade in the stock market (1998)The big, bad wolf and the rational market: portfolio insurance, the 1987 crash and the performativity of economics (2004)The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient (2004)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Microstructure noise in the continuous case: The pre-averaging approach (2008)Realized kernels in practice: trades and quotes (2009)
this work references cited by second hop

References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1995Scaling behaviour in the dynamics of an economic index1,754 cited
  • 2001An Introduction to High-Frequency Finance956 cited
  • 1999Statistical properties of the volatility of price fluctuations730 cited
  • 1997From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets522 cited
  • 1990Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis482 cited
  • 1992Chaos and order in the capital markets: a new view of cycles, prices, and market volatility423 cited
  • 1998Fractals and Scaling in Finance: Discontinuity, Concentration, Risk418 cited
  • 2002Multifractality in Asset Returns: Theory and Evidence384 cited
  • 2001Scaling properties of foreign exchange volatility201 cited
  • 1999Multifractal analysis of foreign exchange data190 cited
  • 2001Stochastic volatility as a simple generator of apparent financial power laws and long memory173 cited

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  • 2016

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Multiscale correlation networks analysis of the US stock market: a wavelet analysis
90 cited
  • 2015Investment horizon heterogeneity and wavelet: Overview and further research directions84 cited
  • 2019Signatures of the Crypto-Currency Market Decoupling from the Forex69 cited
  • 2007Scale invariant distribution and multifractality of volatility multipliers in stock markets62 cited
  • 2017An optimized SVM-k-NN currency exchange forecasting model for Indian currency market38 cited
  • 2014Multifractality and value-at-risk forecasting of exchange rates37 cited
  • 2011A copula–multifractal volatility hedging model for CSI 300 index futures30 cited
  • 2013Measuring daily Value-at-Risk of SSEC index: A new approach based on multifractal analysis and extreme value theory21 cited