Inverse Statistics in the Foreign Exchange Market
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Other versions of this item:
- Jensen, M.H & Johansen, A & Petroni, F & Simonsen, I, 2004. "Inverse statistics in the foreign exchange market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 340(4), pages 678-684.
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Cited by:
- Guglielmo D'Amico & Filippo Petroni, 2012. "Weighted-indexed semi-Markov models for modeling financial returns," Papers 1205.2551, arXiv.org, revised Jun 2012.
- Restocchi, Valerio & McGroarty, Frank & Gerding, Enrico, 2019. "The stylized facts of prediction markets: Analysis of price changes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 159-170.
- Michele Caraglio & Fulvio Baldovin & Attilio L. Stella, 2021. "How Fast Does the Clock of Finance Run?—A Time-Definition Enforcing Stationarity and Quantifying Overnight Duration," JRFM, MDPI, vol. 14(8), pages 1-15, August.
- Guglielmo D'Amico & Filippo Petroni, 2013. "Multivariate high-frequency financial data via semi-Markov processes," Papers 1305.0436, arXiv.org.
- Zou, Yongjie & Li, Honggang, 2014. "Time spans between price maxima and price minima in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 303-309.
- Zhou, Wei-Xing & Yuan, Wei-Kang, 2005.
"Inverse statistics in stock markets: Universality and idiosyncracy,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 353(C), pages 433-444.
- Wei-Xing Zhou & Wei-Kang Yuan, 2004. "Inverse statistics in stock markets: Universality and idiosyncracy," Papers cond-mat/0410225, arXiv.org, revised Oct 2004.
- G. D'Amico & F. Petroni & F. Prattico, 2013. "Semi-Markov Models in High Frequency Finance: A Review," Papers 1312.3894, arXiv.org.
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