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Power-law relaxation in a complex system: Omori law after a financial market crash
6 references·13 citing·46 second hop
Power-law relaxation in a complex system: Omori law after a financial market crash (2003)Power-law relaxation in a complex system:…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Inverse cubic law for the distribution of stock price variations (1998)Inverse cubic law for the dis…The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks (1996)The stable Paretian hypothesi…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Random Character of Stock Market Prices (1968)The Random Character of Stock…Qualitative financial modelling in fractal dimensions (2025)Qualitative financial modelli…Option valuation and hedging in markets with a crunch (2017)Option valuation and hedging …The fine-structure of volatility feedback I: Multi-scale self-reflexivity (2014)The fine-structure of volatil…Bubbles, shocks and elementary technical trading strategies (2014)Bubbles, shocks and elementar…Individual and collective stock dynamics: intra-day seasonalities (2011)Individual and collective sto…Market dynamics immediately before and after financial shocks: Quantifying the Omori, productivity, and Bath laws (2010)Market dynamics immediately b…Financial networks with static and dynamic thresholds (2010)Financial networks with stati…How Markets Slowly Digest Changes in Supply and Demand (2009)How Markets Slowly Digest Cha…Power Laws in Economics and Finance (2008)Power Laws in Economics and F…Relation between volatility correlations in financial markets and Omori processes occurring on all scales (2007)Relation between volatility c…Short-term market reaction after extreme price changes of liquid stocks (2006)Short-term market reaction af…Mechanical vs. informational components of price impact (2006)Mechanical vs. informational …Probing human response times (2004)Probing human response timesBook Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)An Econometric Analysis of Nonsynchronous Trading (1989)An ordered probit analysis of transaction stock prices (1990)The Econometrics of Financial Markets (1998)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)The Variation of Certain Speculative Prices (1963)Herd Behaviour, Bubbles and Crashes (1995)The variation of certain speculative prices (1997)A theory of power-law distributions in financial market fluctuations (2003)An Engine, Not a Camera (2006)Institutional Investors and Stock Market Volatility (2006)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Option pricing when underlying stock returns are discontinuous (1976)On the performance of simple trading rules derived from the fractal dynamics of gold and silver price fluctuations (2015)Speculative bubbles in Bitcoin markets? 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this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 2012The Econometrics of Financial Markets5,889 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities4,161 cited
  • 1968The Random Character of Stock Market Prices944 cited
  • 1998Inverse cubic law for the distribution of stock price variations590 cited
  • 1996The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks400 cited

Cited by

  • 2009How Markets Slowly Digest Changes in Supply and Demand442 cited
  • 2008Power Laws in Economics and Finance88 cited
  • 2010Market dynamics immediately before and after financial shocks: Quantifying the Omori, productivity, and Bath laws75 cited
  • 2014Bubbles, shocks and elementary technical trading strategies73 cited
  • 2004Probing human response times69 cited
  • 2007Relation between volatility correlations in financial markets and Omori processes occurring on all scales67 cited
  • 2010Financial networks with static and dynamic thresholds63 cited
  • 2006Short-term market reaction after extreme price changes of liquid stocks51 cited
  • 2011Individual and collective stock dynamics: intra-day seasonalities

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51 cited
  • 2014The fine-structure of volatility feedback I: Multi-scale self-reflexivity49 cited
  • 2006Mechanical vs. informational components of price impact19 cited
  • 2017Option valuation and hedging in markets with a crunch17 cited
  • 2025Qualitative financial modelling in fractal dimensions15 cited