SZodixStudyAcademic Library
DashboardShelvesOpen accessMy libraryInboxNotesWriteLearnAlerts
More
Ask your libraryNotificationsQuick citeReview
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Modelling fluctuations of financial time series: from cascade process to stochastic volatility model
0 references·16 citing·48 second hop
Modelling fluctuations of financial time series: from cascade process to stochastic volatility model (2000)Modelling fluctuations of financial time …Multifractal methodology (2017)Multifractal methodologyMultifractal detrended fluctuation analysis: Practical applications to financial time series (2016)Multifractal detrended fluctu…Critical reflexivity in financial markets: a Hawkes process analysis (2013)Critical reflexivity in finan…Quantitative features of multifractal subtleties in time series (2009)Quantitative features of mult…Cross-correlation in financial dynamics (2009)Cross-correlation in financia…Stock price jumps: news and volume play a minor role (2008)Stock price jumps: news and v…Multifractal structure in Latin-American market indices (2008)Multifractal structure in Lat…Multifractal analysis of Chinese stock volatilities based on the partition function approach (2008)Multifractal analysis of Chin…Random walks, liquidity molasses and critical response in financial markets (2006)Random walks, liquidity molas…Numerical methods for the estimation of multifractal singularity spectra on sampled data: A comparative study (2006)Numerical methods for the est…Long range dependence in financial markets (2005)Long range dependence in fina…Empirical distributions of stock returns: between the stretched exponential and the power law? (2005)Empirical distributions of st…Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Fluctuations and response in …Multifractal stationary random measures and multifractal random walks with log infinitely divisible scaling laws (2002)Multifractal stationary rando…Multifractal returns and hierarchical portfolio theory (2001)Multifractal returns and hier…Modelling financial time series using multifractal random walks (2001)Modelling financial time seri…Fractional Brownian Motions, Fractional Noises and Applications (1968)The variation of certain speculative prices (1997)Stochastic Integration and Differential Equations (2005)Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility (2017)High frequency trading strategies, market fragility and price spikes: an agent based model perspective (2018)Return and volatility properties: Stylized facts from the universe of cryptocurrencies and NFTs (2023)The Present-Value Relation: Tests Based on Implied Variance Bounds (1981)What Moves Stock Prices? (1988)This Time Is Different (2009)Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data (2015)Modeling foreign exchange market activity around macroeconomic news: Hawkes-process approach (2015)Modelling systemic price cojumps with Hawkes factor models (2015)Wavelets and multifractal formalism for singular signals: Application to turbulence data (1991)Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal properties of price fluctuations of stocks and commodities (2003)Finite-size effect and the components of multifractality in financial volatility (2011)Detecting and interpreting distortions in hierarchical organization of complex time series (2015)Detrended fluctuation analysis made flexible to detect range of cross-correlated fluctuations (2015)Wavelet analysis of long-range-dependent traffic (1998)Introduction to Econophysics (1999)NEW INSIGHTS INTO THE ESTIMATION OF SCALING EXPONENTS (2004)Continuous cascade models for asset returns (2007)Arbitrary-order Hilbert spectral analysis for time series possessing scaling statistics: Comparison study with detrended fluctuation analysis and wavelet leaders (2011)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Continuous Auctions and Insider Trading (1985)Empirical properties of asset returns: stylized facts and statistical issues (2001)Predicting abnormal returns from news using text classification (2012)Quantifying reflexivity in financial markets: Toward a prediction of flash crashes (2012)Financial portfolio optimization with online deep reinforcement learning and restricted stacked autoencoder—DeepBreath (2020)Measuring the Information Content of Stock Trades (1991)Theory for long memory in supply and demand (2005)Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary? (2006)Agent-based models for latent liquidity and concave price impact (2014)Detrended fluctuation analysis for fractals and multifractals in higher dimensions (2006)MFDFA: Efficient multifractal detrended fluctuation analysis in python (2021)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Does the Stock Market Overreact? (1985)What really causes large price changes? (2004)An empirical behavioral model of liquidity and volatility (2007)Does herding affect volatility? Implications for the Spanish stock market (2010)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Self-organizing Ising model of financial markets (2006)Emergent Macroeconomics: An Agent-Based Approach to Business Fluctuations (2008)Dragon-Kings, Black Swans and the Prediction of Crises (2009)Spatiotemporal symmetry and multifractal structure of head movements during dyadic conversation. (2009)Multifractal moving average analysis and test of multifractal model with tuned correlations (2011)
this work references cited by second hop

References

No references inside the corpus for this window.

Cited by

  • 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes295 cited
  • 2017Multifractal methodology196 cited
  • 2005Empirical distributions of stock returns: between the stretched exponential and the power law?191 cited
  • 2009Quantitative features of multifractal subtleties in time series190 cited
  • 2013Critical reflexivity in financial markets: a Hawkes process analysis187 cited
  • 2006Random walks, liquidity molasses and critical response in financial markets155 cited
  • 2008Stock price jumps: news and volume play a minor role141 cited
  • 2002Multifractal stationary random measures and multifractal random walks with log infinitely divisible scaling laws140 cited
  • 2006Numerical methods for the estimation of multifractal singularity spectra on sampled data: A comparative study134 cited
  • 2005Long range dependence in financial markets131 cited
  • 2001Multifractal returns and hierarchical portfolio theory119 cited
  • 2009Cross-correlation in financial dynamics115 cited
  • 2001Modelling financial time series using multifractal random walks107 cited
  • 2008Multifractal structure in Latin-American market indices107 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2008Multifractal analysis of Chinese stock volatilities based on the partition function approach107 cited
  • 2016Multifractal detrended fluctuation analysis: Practical applications to financial time series103 cited