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Scaling and memory in volatility return intervals in financial markets
16 references·16 citing·36 second hopsampled
Scaling and memory in volatility return intervals in financial markets (2005)Scaling and memory in volatility return i…Theory of Financial Risk and Derivative Pricing (2003)Theory of Financial Risk and …A theory of power-law distributions in financial market fluctuations (2003)A theory of power-law distrib…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…Statistical properties of the volatility of price fluctuations (1999)Statistical properties of the…Scaling of the distribution of fluctuations of financial market indices (1999)Scaling of the distribution o…Introduction to Econophysics (1999)Introduction to EconophysicsThe econometrics of financial markets (1996)The econometrics of financial…Stock Prices and Volume (1992)Stock Prices and VolumeARCH modeling in finance (1992)ARCH modeling in financeWhy Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…A transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…Option pricing: A simplified approach (1979)Option pricing: A simplified …The valuation of options for alternative stochastic processes (1976)The valuation of options for …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Stabilizing effect of volatility in financial markets (2018)Stabilizing effect of volatil…Emergence of scaling in human-interest dynamics (2013)Emergence of scaling in human…Web Search Queries Can Predict Stock Market Volumes (2012)Web Search Queries Can Predic…On the origin of long-range correlations in texts (2012)On the origin of long-range c…A multifractal analysis of Asian foreign exchange markets (2012)A multifractal analysis of As…Universal behaviour of interoccurrence times between losses in financial markets: An analytical description (2011)Universal behaviour of intero…A new approach to quantify power-law cross-correlation and its application to commodity markets (2011)A new approach to quantify po…Market dynamics immediately before and after financial shocks: Quantifying the Omori, productivity, and Bath laws (2010)Market dynamics immediately b…Return interval distribution of extreme events and long-term memory (2008)Return interval distribution …A statistical physics view of financial fluctuations: Evidence for scaling and universality (2008)A statistical physics view of…Statistics of return intervals in long-term correlated records (2007)Statistics of return interval…Relation between volatility correlations in financial markets and Omori processes occurring on all scales (2007)Relation between volatility c…Long-term memory and volatility clustering in high-frequency price changes (2007)Long-term memory and volatili…Long memory properties in return and volatility: Evidence from the Korean stock market (2007)Long memory properties in ret…Effect of Nonlinear Correlations on the Statistics of Return Intervals in Multifractal Data Sets (2007)Effect of Nonlinear Correlati…Scaling and memory of intraday volatility return intervals in stock markets (2006)Scaling and memory of intrada…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)Portfolio Selection: Efficient Diversification of Investments (1959)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Random matrix approach to cross correlations in financial data (2002)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Bayesian Analysis of Stochastic Volatility Models (2002)Risks and Portfolio Decisions Involving Hedge Funds (2003)Market liquidity as a sentiment indicator (2004)Theory of Rational Option Pricing (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)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)Continuous Auctions and Insider Trading (1985)Measuring the Information Content of Stock Trades (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)The Cross‐Section of Volatility and Expected Returns (2006)A tool for filtering information in complex systems (2005)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,342 cited
  • 1999Introduction to Econophysics1,831 cited
  • 1992Stock Prices and Volume1,295 cited
  • 2003A theory of power-law distributions in financial market fluctuations1,283 cited
  • 1999Scaling of the distribution of fluctuations of financial market indices893 cited
  • 1996The econometrics of financial markets886 cited
  • 2003Theory of Financial Risk and Derivative Pricing879 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1999Statistical properties of the volatility of price fluctuations

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730 cited

Cited by

  • 2012Web Search Queries Can Predict Stock Market Volumes238 cited
  • 2006Scaling and memory of intraday volatility return intervals in stock markets156 cited
  • 2007Effect of Nonlinear Correlations on the Statistics of Return Intervals in Multifractal Data Sets155 cited
  • 2007Statistics of return intervals in long-term correlated records144 cited
  • 2011A new approach to quantify power-law cross-correlation and its application to commodity markets133 cited
  • 2018Stabilizing effect of volatility in financial markets123 cited
  • 2012On the origin of long-range correlations in texts118 cited
  • 2008Return interval distribution of extreme events and long-term memory113 cited
  • 2008A statistical physics view of financial fluctuations: Evidence for scaling and universality92 cited
  • 2007Long-term memory and volatility clustering in high-frequency price changes87 cited
  • 2012A multifractal analysis of Asian foreign exchange markets86 cited
  • 2013Emergence of scaling in human-interest dynamics82 cited
  • 2007Long memory properties in return and volatility: Evidence from the Korean stock market80 cited
  • 2011Universal behaviour of interoccurrence times between losses in financial markets: An analytical description75 cited
  • 2010Market dynamics immediately before and after financial shocks: Quantifying the Omori, productivity, and Bath laws75 cited
  • 2007Relation between volatility correlations in financial markets and Omori processes occurring on all scales67 cited