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Role of multifractal sources in the analysis of stock market time series · Study

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ArticleRole of multifractal sources in the analysis of stock market time series

Antonio Turiel2005

Article2005

Role of multifractal sources in the analysis of stock market time series

Antonio Turiel · C. J. Pérez Vicente

54 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Complex Systems and Time Series Analysis Time Series Analysis and Forecasting Statistical Mechanics and Entropy

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References

1999Introduction to Econophysics 1995Scaling behaviour in the dynamics of an economic index 1999Statistical properties of the volatility of price fluctuations 2000Modelling fluctuations of financial time series: from cascade process to stochastic volatility model 1998”Direct” causal cascade in the stock market 1997Causal cascade in the stock market from the ``infrared'' to the ``ultraviolet''2000Scaling and correlation in financial time series 1997Scaling in currency exchange

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2011Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant

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Year2005

Typearticle

Published2005-05-12

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations54

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/j.physa.2005.04.002

openalex_workW2104417648

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