The foreign exchange market: return distributions, multifractality, anomalous multifractality and Epps effect

Citations

Cited by:

1. Stanis{l}aw Dro.zd.z & Ludovico Minati & Pawe{l} O'swik{e}cimka & Marek Stanuszek & Marcin Wk{a}torek, 2019. "Signatures of crypto-currency market decoupling from the Forex," Papers 1906.07834, arXiv.org, revised Jul 2019.
2. Wang, Fang & Wang, Lin & Chen, Yuming, 2018. "Quantifying the range of cross-correlated fluctuations using a q–L dependent AHXA coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 454-464.
3. Chapeau-Blondeau, François, 2014. "Tsallis entropy for assessing quantum correlation with Bell-type inequalities in EPR experiment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 204-215.
4. Basnarkov, Lasko & Stojkoski, Viktor & Utkovski, Zoran & Kocarev, Ljupco, 2019. "Correlation patterns in foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 1026-1037.
   • Lasko Basnarkov & Viktor Stojkoski & Zoran Utkovski & Ljupco Kocarev, 2019. "Correlation Patterns in Foreign Exchange Markets," Papers 1902.06483, arXiv.org, revised Feb 2019.
5. Robert Gk{e}barowski & Stanis{l}aw Dro.zd.z & Andrzej Z. G'orski & Pawe{l} O'swik{e}cimka, 2014. "Competition of Commodities for the Status of Money in an Agent-based Model," Papers 1412.2124, arXiv.org.
6. Faheem Aslam & Paulo Ferreira & Haider Ali & Ana Ercília José, 2022. "Application of Multifractal Analysis in Estimating the Reaction of Energy Markets to Geopolitical Acts and Threats," Sustainability, MDPI, vol. 14(10), pages 1-23, May.
7. Stanis{l}aw Dro.zd.z & Rafa{l} Kowalski & Pawe{l} O'swic{e}cimka & Rafa{l} Rak & Robert Gc{e}barowski, 2018. "Dynamical variety of shapes in financial multifractality," Papers 1809.06728, arXiv.org.
8. Stanis{l}aw Dro.zd.z & Jaros{l}aw Kwapie'n & Pawe{l} O'swik{e}cimka & Tomasz Stanisz & Marcin Wk{a}torek, 2020. "Complexity in economic and social systems: cryptocurrency market at around COVID-19," Papers 2009.10030, arXiv.org.
9. Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z & Pawe{l} O'swic{e}cimka & Marek Stanuszek, 2018. "Multifractal cross-correlations between the World Oil and other Financial Markets in 2012-2017," Papers 1812.08548, arXiv.org, revised Jun 2019.
10. Provash Mali & Amitabha Mukhopadhyay, 2015. "Multifractal characterization of gold market: a multifractal detrended fluctuation analysis," Papers 1506.08847, arXiv.org.
11. Jaros{l}aw Kwapie'n & Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z, 2021. "Cryptocurrency Market Consolidation in 2020--2021," Papers 2112.06552, arXiv.org.
12. Marcin Wk{a}torek & Jaros{l}aw Kwapie'n & Stanis{l}aw Dro.zd.z, 2021. "Financial Return Distributions: Past, Present, and COVID-19," Papers 2107.06659, arXiv.org.
13. Marcin Wk{a}torek & Marcin Kr'olczyk & Jaros{l}aw Kwapie'n & Tomasz Stanisz & Stanis{l}aw Dro.zd.z, 2024. "Approaching multifractal complexity in decentralized cryptocurrency trading," Papers 2411.05951, arXiv.org.
14. Bhattacharyya, Trambak & Shukla, Shanu & Pandey, Ranu, 2022. "A Tsallis-like effective exponential delay discounting model and its implications," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
15. Mali, Provash & Mukhopadhyay, Amitabha, 2014. "Multifractal characterization of gold market: A multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 361-372.
16. Wang, Jian & Huang, Menghao & Zhang, Yudong & Kim, Junseok, 2022. "Modification of multifractal analysis based on multiplicative cascade image," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
17. Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z & Jaros{l}aw Kwapie'n & Ludovico Minati & Pawe{l} O'swik{e}cimka & Marek Stanuszek, 2020. "Multiscale characteristics of the emerging global cryptocurrency market," Papers 2010.15403, arXiv.org, revised Mar 2021.
18. Zheng, Zhiyong & Lu, Yunfan & Zhang, Junhuan, 2022. "Multiscale complexity fluctuation behaviours of stochastic interacting cryptocurrency price model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
19. Aki-Hiro Sato & Takaki Hayashi & Janusz Hołyst, 2012. "Comprehensive analysis of market conditions in the foreign exchange market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 7(2), pages 167-179, October.
20. Schadner, Wolfgang, 2021. "On the persistence of market sentiment: A multifractal fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).
21. Stanisław Drożdż & Ludovico Minati & Paweł Oświȩcimka & Marek Stanuszek & Marcin Wa̧torek, 2019. "Signatures of the Crypto-Currency Market Decoupling from the Forex," Future Internet, MDPI, vol. 11(7), pages 1-18, July.
22. Gontis, V. & Kononovicius, A., 2018. "The consentaneous model of the financial markets exhibiting spurious nature of long-range memory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 1075-1083.
23. Kartono, Agus & Febriyanti, Marina & Wahyudi, Setyanto Tri & Irmansyah,, 2020. "Predicting foreign currency exchange rates using the numerical solution of the incompressible Navier–Stokes equations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
24. R. P. Datta, 2023. "Analysis of Indian foreign exchange markets: A Multifractal Detrended Fluctuation Analysis (MFDFA) approach," Papers 2306.16162, arXiv.org.
25. Stanis{l}aw Dro.zd.z & Jaros{l}aw Kwapie'n & Marcin Wk{a}torek, 2023. "What is mature and what is still emerging in the cryptocurrency market?," Papers 2305.05751, arXiv.org.
26. Łukasz Bil & Dariusz Grech & Magdalena Zienowicz, 2017. "Asymmetry of price returns—Analysis and perspectives from a non-extensive statistical physics point of view," PLOS ONE, Public Library of Science, vol. 12(11), pages 1-24, November.