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On the relationship between energy returns and trading volume: a multifractal analysis
16 references·1 citing·35 second hop
On the relationship between energy returns and trading volume: a multifractal analysis (2019)On the relationship between energy return…A deep learning ensemble approach for crude oil price forecasting (2017)A deep learning ensemble appr…Multifractal detrending moving-average cross-correlation analysis (2011)Multifractal detrending movin…Detrending moving average algorithm for multifractals (2010)Detrending moving average alg…DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)DCCA cross-correlation coeffi…Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series (2008)Detrended Cross-Correlation A…Second-order moving average and scaling of stochastic time series (2002)Second-order moving average a…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…The variation of certain speculative prices (1997)The variation of certain spec…Market Statistics and Technical Analysis: The Role of Volume (1994)Market Statistics and Technic…Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Oil and the Macroeconomy since World War II (1983)Oil and the Macroeconomy sinc…A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL* (1976)A MODEL OF ASSET TRADING UNDE…A Model of Asset Trading Under the Assumption of Sequential Information Arrival (1976)A Model of Asset Trading Unde…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Are oil and gas futures markets efficient? A multifractal analysis (2020)Are oil and gas futures marke…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation (2000)Fractional Differencing (1981)Hierarchical structure in financial markets (1999)Statistical tests for power-law cross-correlated processes (2011)Multifractal analysis of financial markets: a review (2019)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)Comparing alternative tests of causality in temporal systems (1983)This is what happened to the oil price-macroeconomy relationship (1996)Oil price shocks and stock market activity (1999)What is an Oil Shock? (2000)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)Chapter 49 Arch models (1994)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Idiosyncratic Risk Matters! (2003)The Information Content of Annual Earnings Announcements (1968)Differences of Opinion Make a Horse Race (1993)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)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)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Cross-correlations between volume change and price change (2009)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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References

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  • 1994Market Statistics and Technical Analysis: The Role of Volume1,105 cited
  • 2010DCCA cross-correlation coefficient: Quantifying level of cross-correlation611 cited
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  • 1976A Model of Asset Trading Under the Assumption of Sequential Information Arrival556 cited
  • 2010Detrending moving average algorithm for multifractals440 cited
  • 2002Second-order moving average and scaling of stochastic time series408 cited
  • 2017A deep learning ensemble approach for crude oil price forecasting

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383 cited
  • 2011Multifractal detrending moving-average cross-correlation analysis375 cited
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    • 2020Are oil and gas futures markets efficient? A multifractal analysis19 cited