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Wavelet methods in (financial) time-series processing
13 references·2 citing·37 second hop
Wavelet methods in (financial) time-series processing (2001)Wavelet methods in (financial) time-serie…DETERMINING LOCAL SINGULARITY STRENGTHS AND THEIR SPECTRA WITH THE WAVELET TRANSFORM (2000)DETERMINING LOCAL SINGULARITY…Statistical properties of the volatility of price fluctuations (1999)Statistical properties of the…Introduction to Econophysics (1999)Introduction to EconophysicsEconophysics: Can physicists contribute to the science of economics? (1999)Econophysics: Can physicists …The crash of October 1987 seen as a phase transition: amplitude and universality (1998)The crash of October 1987 see…”Direct” causal cascade in the stock market (1998)”Direct” causal cascade in th…The variation of certain speculative prices (1997)The variation of certain spec…Coherent and random sequences in financial fluctuations (1997)Coherent and random sequences…Causal 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…THE MULTIFRACTAL FORMALISM REVISITED WITH WAVELETS (1994)THE MULTIFRACTAL FORMALISM RE…On the Distribution of Stock Price Differences (1967)On the Distribution of Stock …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Ensemble forecasting of Value at Risk via Multi Resolution Analysis based methodology in metals markets (2011)Ensemble forecasting of Value…Portfolio management under sudden changes in volatility and heterogeneous investment horizons (2006)Portfolio management under su…Fractals and Scaling in Finance: Discontinuity, Concentration, Risk (1998)Self-organized percolation model for stock market fluctuations (1999)Econophysics: financial time series from a statistical physics point of view (2000)How to Quantify Deterministic and Random Influences on the Statistics of the Foreign Exchange Market (2000)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)Institutional Investors and Stock Market Volatility (2006)Cross-correlations between volume change and price change (2009)Physical approach to complex systems (2012)Théorie de la spéculation (1900)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)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Power Laws in Economics and Finance (2009)Cours d'économie politique (1964)ARCH modeling in finance (1992)Long-range correlations and nonstationarity in the Brazilian stock market (2003)Switching processes in financial markets (2011)Econophysics and sociophysics: Their milestones & challenges (2018)Brownian Motion in the Stock Market (1959)The Behavior of Stock-Market Prices (1965)Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis (1990)Multifractality in Asset Returns: Theory and Evidence (2002)Cross-Section Regression with Common Shocks (2005)A long memory property of stock market returns and a new model (1993)Long memory and volatility clustering: Is the empirical evidence consistent across stock markets? (2008)FRACTAL MARKETS HYPOTHESIS AND THE GLOBAL FINANCIAL CRISIS: SCALING, INVESTMENT HORIZONS AND LIQUIDITY (2012)Irreversibility of financial time series: A graph-theoretical approach (2016)Detrending moving average algorithm for multifractals (2010)Multifractal analysis of financial markets: a review (2019)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)Scaling of the distribution of fluctuations of financial market indices (1999)A tool for filtering information in complex systems (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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References

  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1999Introduction to Econophysics1,831 cited
  • 1995Scaling behaviour in the dynamics of an economic index1,754 cited
  • 1999Statistical properties of the volatility of price fluctuations730 cited
  • 1994THE MULTIFRACTAL FORMALISM REVISITED WITH WAVELETS574 cited
  • 1967On the Distribution of Stock Price Differences529 cited
  • 1998”Direct” causal cascade in the stock market239 cited
  • 1997Coherent and random sequences in financial fluctuations163 cited
  • 1999Econophysics: Can physicists contribute to the science of economics?151 cited
  • 1997Causal cascade in the stock market from the ``infrared'' to the ``ultraviolet''147 cited
  • 1998The crash of October 1987 seen as a phase transition: amplitude and universality115 cited
  • 2000DETERMINING LOCAL SINGULARITY STRENGTHS AND THEIR SPECTRA WITH THE WAVELET TRANSFORM107 cited

Cited by

  • 2006Portfolio management under sudden changes in volatility and heterogeneous investment horizons29 cited
  • 2011Ensemble forecasting of Value at Risk via Multi Resolution Analysis based methodology in metals markets

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25 cited