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Role of multifractal sources in the analysis of stock market time series
10 references·1 citing·28 second hop
Role of multifractal sources in the analysis of stock market time series (2005)Role of multifractal sources in the analy…Multifractal geometry in stock market time series (2003)Multifractal geometry in stoc…Scaling and correlation in financial time series (2000)Scaling and correlation in fi…MULTIFRACTAL FLUCTUATIONS IN FINANCE (2000)MULTIFRACTAL FLUCTUATIONS IN …Modelling fluctuations of financial time series: from cascade process to stochastic volatility model (2000)Modelling fluctuations of fin…Statistical properties of the volatility of price fluctuations (1999)Statistical properties of the…Introduction to Econophysics (1999)Introduction to Econophysics”Direct” causal cascade in the stock market (1998)”Direct” causal cascade in th…Scaling in currency exchange (1997)Scaling in currency exchangeCausal cascade in the stock market from the ``infrared'' to the ``ultraviolet'' (1997)Causal cascade in the stock m…Scaling behaviour in the dynamics of an economic index (1995)Scaling behaviour in the dyna…Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant (2011)Long-term correlations and mu…The Behavior of Stock-Market Prices (1965)Fractional Brownian Motions, Fractional Noises and Applications (1968)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Econophysics: can physicists contribute to the science of economics? (1999)Scaling and criticality in a stochastic multi-agent model of a financial market (1999)Fractals and Scaling in Finance: Discontinuity, Concentration, Risk (1998)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the Modeling of Financial Time Series (2014)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)Effect of trends on detrended fluctuation analysis (2001)Multifractal detrended fluctuation analysis of nonstationary time series (2002)The Variation of Certain Speculative Prices (1963)The variation of certain speculative prices (1997)Multifractal behavior of the Korean stock-market index KOSPI (2005)Scale invariant distribution and multifractality of volatility multipliers in stock markets (2007)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents (2002)Microcanonical multifractal formalism—a geometrical approach to multifractal systems: Part I. Singularity analysis (2007)The Index cohesive effect on stock market correlations (2009)Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)Multifractal nature of particulate matters (PMs) in Hong Kong urban air (2015)Empirical properties of asset returns: stylized facts and statistical issues (2001)Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Financial markets under the global pandemic of COVID-19 (2020)
this work references cited by second hop

References

  • 1999Introduction to Econophysics1,919 cited
  • 1995Scaling behaviour in the dynamics of an economic index1,754 cited
  • 1999Statistical properties of the volatility of price fluctuations730 cited
  • 2000Modelling fluctuations of financial time series: from cascade process to stochastic volatility model301 cited
  • 1998”Direct” causal cascade in the stock market239 cited
  • 1997Causal cascade in the stock market from the ``infrared'' to the ``ultraviolet''147 cited
  • 2000Scaling and correlation in financial time series143 cited
  • 1997Scaling in currency exchange107 cited
  • 2000MULTIFRACTAL FLUCTUATIONS IN FINANCE78 cited
  • 2003Multifractal geometry in stock market time series77 cited

Cited by

  • 2011Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant53 cited

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