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Individual and collective stock dynamics: intra-day seasonalities
12 references·0 citing·49 second hop
Individual and collective stock dynamics: intra-day seasonalities (2011)Individual and collective stock dynamics:…Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management (2011)Theory of Financial Risk and …Stock price jumps: news and volume play a minor role (2008)Stock price jumps: news and v…Short-term market reaction after extreme price changes of liquid stocks (2006)Short-term market reaction af…Random matrix theory analysis of cross correlations in financial markets (2004)Random matrix theory analysis…Theory of Financial Risk and Derivative Pricing (2003)Theory of Financial Risk and …Power-law relaxation in a complex system: Omori law after a financial market crash (2003)Power-law relaxation in a com…Random matrix approach to cross correlations in financial data (2002)Random matrix approach to cro…Correlation structure of extreme stock returns (2001)Correlation structure of extr…Variety and volatility in financial markets (2000)Variety and volatility in fin…Symmetry alteration of ensemble return distribution in crash and rally days of financial markets (2000)Symmetry alteration of ensemb…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Microscopic Simulation of Financial Markets (2000)The Statistical Mechanics of Financial Markets (2001)Institutional Investors and Stock Market Volatility (2006)Correlation, hierarchies, and networks in financial markets (2010)Stochastic Processes (2013)Volatility Is Rough (2018)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)Statistical tests for power-law cross-correlated processes (2011)Statistical physics of human cooperation (2017)Portfolio Selection: Efficient Diversification of Investments. (1962)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Systematic analysis of group identification in stock markets (2005)Collective behavior of stock price movements in an emerging market (2007)Community Detection for Correlation Matrices (2015)Modern Portfolio Theory and Investment Analysis. (1982)Hierarchical structure in financial markets (1999)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Stochastic resonance as a model for financial market crashes and bubbles (2002)Forecasting price of financial market crash via a new nonlinear potential GARCH model (2020)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Continuous Auctions and Insider Trading (1985)Empirical properties of asset returns: stylized facts and statistical issues (2001)How Markets Slowly Digest Changes in Supply and Demand (2009)Modelling microstructure noise with mutually exciting point processes (2012)Quantifying reflexivity in financial markets: Toward a prediction of flash crashes (2012)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Pricing of Options on Assets with Stochastic Volatilities (1987)Power Laws in Economics and Finance (2008)Market dynamics immediately before and after financial shocks: Quantifying the Omori, productivity, and Bath laws (2010)The Econometrics of Financial Markets (2012)Multivariate Simultaneous Generalized ARCH (1995)The Econometrics of Financial Markets (1997)Empirical modelling of contagion: a review of methodologies (2005)A nested factor model for non-linear dependencies in stock returns (2015)Power Laws in Economics and Finance (2008)Physical approach to complex systems (2012)Negative bubbles and shocks in cryptocurrency markets (2016)
this work references cited by second hop

References

  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 2003Theory of Financial Risk and Derivative Pricing1,182 cited
  • 2002Random matrix approach to cross correlations in financial data936 cited
  • 2011Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management480 cited
  • 2004Random matrix theory analysis of cross correlations in financial markets174 cited
  • 2003Power-law relaxation in a complex system: Omori law after a financial market crash147 cited
  • 2008Stock price jumps: news and volume play a minor role141 cited
  • 2000Variety and volatility in financial markets89 cited
  • 2001Correlation structure of extreme stock returns66 cited
  • 2000Symmetry alteration of ensemble return distribution in crash and rally days of financial markets54 cited
  • 2006Short-term market reaction after extreme price changes of liquid stocks51 cited

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