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Size matters: some stylized facts of the stock market revisited
16 references·12 citing·37 second hop
Size matters: some stylized facts of the stock market revisited (2006)Size matters: some stylized facts of the …The Economy as an Evolving Complex System II (2018)The Economy as an Evolving Co…Worrying trends in econophysics (2006)Worrying trends in econophysi…What really causes large price changes? (2004)What really causes large pric…On the origin of power-law tails in price fluctuations (2004)On the origin of power-law ta…Components of multifractality in high-frequency stock returns (2004)Components of multifractality…Common scaling patterns in intertrade times of U. S. stocks (2004)Common scaling patterns in in…What really causes large price changes? (2003)What really causes large pric…A theory of power-law distributions in financial market fluctuations (2003)A theory of power-law distrib…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…Statistical properties of share volume traded in financial markets (2000)Statistical properties of sha…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…Introduction to Econophysics (1999)Introduction to EconophysicsInverse cubic law for the distribution of stock price variations (1998)Inverse cubic law for the dis…Fractals and Scaling in Finance: Discontinuity, Concentration, Risk (1998)Fractals and Scaling in Finan…Fractals and Scaling in Finance (1997)Fractals and Scaling in Finan…The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks (1996)The stable Paretian hypothesi…Investor sentiment and bitcoin prices (2022)Investor sentiment and bitcoi…Statistically validated network of portfolio overlaps and systemic risk (2016)Statistically validated netwo…Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets (2013)Quantification of the High Le…How Efficiency Shapes Market Impact (2013)How Efficiency Shapes Market …Universal price impact functions of individual trades in an order-driven market (2010)Universal price impact functi…Complex stock trading network among investors (2010)Complex stock trading network…Optimal trading strategies for Itô diffusion processes (2009)Optimal trading strategies fo…Emergence of long memory in stock volatility from a modified Mike-Farmer model (2009)Emergence of long memory in s…Applications of Statistical Physics in Finance and Economics (2009)Applications of Statistical P…Scaling in the distribution of intertrade durations of Chinese stocks (2008)Scaling in the distribution o…Tests of scaling and universality of the distributions of trade size and share volume: Evidence from three distinct markets (2007)Tests of scaling and universa…Fitting the empirical distribution of intertrade durations (2007)Fitting the empirical distrib…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)The Relation Between Price Changes and Trading Volume: A Survey (1987)A long memory property of stock market returns and a new model (1993)Quantifying stock-price response to demand fluctuations (2002)An empirical behavioral model of liquidity and volatility (2007)The Variation of Certain Speculative Prices (1963)Herd Behaviour, Bubbles and Crashes (1995)The variation of certain speculative prices (1997)Statistical properties of stock order books: empirical results and models (2002)Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Human behavior and the principle of least effort (1949)Continuous Auctions and Insider Trading (1985)The Cross‐Section of Volatility and Expected Returns (2006)Modelling the scaling properties of human mobility (2010)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Portfolio Selection: Efficient Diversification of Investments (1959)The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)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)Scaling of the distribution of price fluctuations of individual companies (1999)Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model (2005)Multifractal analysis of financial markets: a review (2019)Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Physical approach to complex systems (2012)”Direct” causal cascade in the stock market (1998)The big, bad wolf and the rational market: portfolio insurance, the 1987 crash and the performativity of economics (2004)The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient (2004)When Effect Becomes Cause: Policy Feedback and Political Change (1993)A Postcapitalist Politics (2006)Evolutionary games on graphs (2007)Scaling of the distribution of fluctuations of financial market indices (1999)A tool for filtering information in complex systems (2005)The politics of attention: how government prioritizes problems (2006)Power Laws in Economics and Finance (2009)
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References

  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,650 cited
  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,342 cited
  • 2018The Economy as an Evolving Complex System II2,313 cited
  • 1999Introduction to Econophysics1,831 cited
  • 1997Fractals and Scaling in Finance1,299 cited
  • 2003A theory of power-law distributions in financial market fluctuations1,283 cited
  • 1998Inverse cubic law for the distribution of stock price variations590 cited
  • 1998Fractals and Scaling in Finance: Discontinuity, Concentration, Risk418 cited
  • 1996The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks400 cited
  • 2000Statistical properties of share volume traded in financial markets320 cited
  • 2004What really causes large price changes?276 cited
  • 2006Worrying trends in econophysics221 cited
  • 2004Common scaling patterns in intertrade times of U. S. stocks166 cited
  • 2004Components of multifractality in high-frequency stock returns152 cited
  • 2004On the origin of power-law tails in price fluctuations150 cited

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2003
What really causes large price changes?
129 cited

Cited by

  • 2016Statistically validated network of portfolio overlaps and systemic risk96 cited
  • 2009Emergence of long memory in stock volatility from a modified Mike-Farmer model90 cited
  • 2009Applications of Statistical Physics in Finance and Economics84 cited
  • 2007Tests of scaling and universality of the distributions of trade size and share volume: Evidence from three distinct markets79 cited
  • 2010Universal price impact functions of individual trades in an order-driven market76 cited
  • 2013Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets72 cited
  • 2008Scaling in the distribution of intertrade durations of Chinese stocks67 cited
  • 2007Fitting the empirical distribution of intertrade durations67 cited
  • 2010Complex stock trading network among investors66 cited
  • 2022Investor sentiment and bitcoin prices40 cited
  • 2013How Efficiency Shapes Market Impact30 cited
  • 2009Optimal trading strategies for Itô diffusion processes25 cited