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Scaling behaviors in differently developed markets
8 references·16 citing·33 second hop
Scaling behaviors in differently developed markets (2003)Scaling behaviors in differently develope…An Introduction to High-Frequency Finance (2001)An Introduction to High-Frequ…Introduction to Econophysics (1999)Introduction to EconophysicsFractals and Scaling in Finance (1997)Fractals and Scaling in Finan…Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis (1990)Statistical study of foreign …On the spectrum of fractional Brownian motions (1989)On the spectrum of fractional…The Random Character of Stock Market Prices (1968)The Random Character of Stock…The Random Character of Stock Market Prices. (1965)The Random Character of Stock…Theory of Speculation (1964)Theory of SpeculationMultiscale characteristics of the emerging global cryptocurrency market (2020)Multiscale characteristics of…Stock market efficiency: A comparative analysis of Islamic and conventional stock markets (2018)Stock market efficiency: A co…Econophysics and sociophysics: Their milestones & challenges (2018)Econophysics and sociophysics…Bitcoin market route to maturity? Evidence from return fluctuations, temporal correlations and multiscaling effects (2018)Bitcoin market route to matur…Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone (2015)Has the 2008 financial crisis…An analysis of stock market efficiency: Developed vs Islamic stock markets using MF-DFA (2014)An analysis of stock market e…Understanding the source of multifractality in financial markets (2012)Understanding the source of m…Measuring capital market efficiency: Global and local correlations structure (2012)Measuring capital market effi…Dynamical generalized Hurst exponent as a tool to monitor unstable periods in financial time series (2012)Dynamical generalized Hurst e…A tutorial introduction to adaptive fractal analysis (2012)A tutorial introduction to ad…On Hurst exponent estimation under heavy-tailed distributions (2010)On Hurst exponent estimation …Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency (2010)Complexity-entropy causality …Hurst exponent and prediction based on weak-form efficient market hypothesis of stock markets (2008)Hurst exponent and prediction…Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility (2006)Are the crude oil markets bec…Long-range correlations and nonstationarity in the Brazilian stock market (2003)Long-range correlations and n…Multiscale characteristics of the emerging global cryptocurrency marketMultiscale characteristics of…Fractional Brownian Motions, Fractional Noises and Applications (1968)Empirical properties of asset returns: stylized facts and statistical issues (2001)Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations (2011)Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series (2014)The Variation of Certain Speculative Prices (1963)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)PORTFOLIO SELECTION* (1952)The Behavior of Stock-Market Prices (1965)Complexity in Economic and Social Systems: Cryptocurrency Market at around COVID-19 (2020)Analysis of stock market efficiency during crisis periods in the US stock market: Differences between the global financial crisis and COVID-19 pandemic (2021)Performance evaluation of deep learning and boosted trees for cryptocurrency closing price prediction (2022)Establishing the relation between detrended fluctuation analysis and power spectral density analysis for stochastic processes (2000)Optimal rules for ordering uncertain prospects (1975)Hyperbolic Distributions in Finance (1995)Fractional calculus and continuous-time finance (2000)Applications of Statistical Mechanics (2014)Predicting short-term stock prices using ensemble methods and online data sources (2018)Stochastic Portfolio Theory and Stock Market Equilibrium (1982)Multifractal analysis of foreign exchange data (1999)The determinants of trading volume of high-yield corporate bonds (2000)Scaling of the distribution of fluctuations of financial market indices (1999)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)A tool for filtering information in complex systems (2005)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)The politics of attention: how government prioritizes problems (2006)Power Laws in Economics and Finance (2009)
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References

  • 1999Introduction to Econophysics1,831 cited
  • 1997Fractals and Scaling in Finance1,299 cited
  • 2001An Introduction to High-Frequency Finance956 cited
  • 1968The Random Character of Stock Market Prices926 cited
  • 1990Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis482 cited
  • 1989On the spectrum of fractional Brownian motions442 cited
  • 1964Theory of Speculation301 cited
  • 1965The Random Character of Stock Market Prices.266 cited

Cited by

  • 2010On Hurst exponent estimation under heavy-tailed distributions276 cited
  • 2020Multiscale characteristics of the emerging global cryptocurrency market241 cited
  • 2006Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility235 cited
  • 2010Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency227 cited
  • n.d.Multiscale characteristics of the emerging global cryptocurrency market211 cited
  • 2012Measuring capital market efficiency: Global and local correlations structure185 cited
  • 2014An analysis of stock market efficiency: Developed vs Islamic stock markets using MF-DFA

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180 cited
  • 2012Dynamical generalized Hurst exponent as a tool to monitor unstable periods in financial time series146 cited
  • 2018Stock market efficiency: A comparative analysis of Islamic and conventional stock markets142 cited
  • 2018Econophysics and sociophysics: Their milestones & challenges140 cited
  • 2012Understanding the source of multifractality in financial markets131 cited
  • 2003Long-range correlations and nonstationarity in the Brazilian stock market130 cited
  • 2015Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone127 cited
  • 2018Bitcoin market route to maturity? Evidence from return fluctuations, temporal correlations and multiscaling effects120 cited
  • 2008Hurst exponent and prediction based on weak-form efficient market hypothesis of stock markets118 cited
  • 2012A tutorial introduction to adaptive fractal analysis111 cited