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Scaling and correlation in financial time series

Citations

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Cited by:

  1. Yang, Yujun & Li, Jianping & Yang, Yimei, 2017. "The cross-correlation analysis of multi property of stock markets based on MM-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 481(C), pages 23-33.
  2. Olkhov, Victor, 2022. "Introduction of the Market-Based Price Autocorrelation," MPRA Paper 112003, University Library of Munich, Germany.
  3. Chester Curme & Michele Tumminello & Rosario N. Mantegna & H. Eugene Stanley & Dror Y. Kenett, 2015. "Emergence of statistically validated financial intraday lead-lag relationships," Quantitative Finance, Taylor & Francis Journals, vol. 15(8), pages 1375-1386, August.
  4. Leal, Sandrine Jacob & Napoletano, Mauro, 2019. "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 15-41.
  5. Seemann, Lars & McCauley, Joseph L. & Gunaratne, Gemunu H., 2011. "Intraday volatility and scaling in high frequency foreign exchange markets," International Review of Financial Analysis, Elsevier, vol. 20(3), pages 121-126, June.
  6. Kang, Sang Hoon & Yoon, Seong-Min, 2008. "Long memory features in the high frequency data of the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5189-5196.
  7. Raberto, Marco & Scalas, Enrico & Mainardi, Francesco, 2002. "Waiting-times and returns in high-frequency financial data: an empirical study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 314(1), pages 749-755.
  8. Aki-Hiro Sato, 2012. "Segmentation analysis on a multivariate time series of the foreign exchange rates," Papers 1205.0336, arXiv.org.
  9. M. Bartolozzi & C. Mellen, 2009. "Local Risk Decomposition for High-frequency Trading Systems," Papers 0904.4099, arXiv.org, revised Feb 2011.
  10. Olkhov, Victor, 2022. "Price and Payoff Autocorrelations in the Consumption-Based Asset Pricing Model," MPRA Paper 112255, University Library of Munich, Germany.
  11. 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.
  12. Shang, Binbin & Shang, Pengjian, 2020. "Binary indices of time series complexity measures and entropy plane," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 558(C).
  13. Romanovsky, M.Yu. & Vidov, P.V., 2011. "Analytical representation of stock and stock-indexes returns: Non-Gaussian random walks with various jump laws," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3794-3805.
  14. Scarlat, E.I. & Stan, Cristina & Cristescu, C.P., 2007. "Chaotic features in Romanian transition economy as reflected onto the currency exchange rate," Chaos, Solitons & Fractals, Elsevier, vol. 33(2), pages 396-404.
  15. Araújo, Tanya & Eleutério, Samuel & Louçã, Francisco, 2018. "Do sentiments influence market dynamics? A reconstruction of the Brazilian stock market and its mood," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 1139-1149.
  16. Hua, Jia-Chen & Chen, Lijian & Falcon, Liberty & McCauley, Joseph L. & Gunaratne, Gemunu H., 2015. "Variable diffusion in stock market fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 221-233.
  17. Du, Bian & Zhu, Hongliang & Zhao, Jingdong, 2016. "Optimal execution in high-frequency trading with Bayesian learning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 767-777.
  18. de Oliveira Santos, Maíra & Stosic, Tatijana & Stosic, Borko D., 2012. "Long-term correlations in hourly wind speed records in Pernambuco, Brazil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1546-1552.
  19. Aki-Hiro Sato, 2012. "A Comprehensive Analysis of Time Series Segmentation on the Japanese Stock Prices," Papers 1205.0332, arXiv.org, revised Mar 2013.
  20. Shi, Yong & Li, Bo & Du, Guangle & Dai, Wei, 2021. "Clustering framework based on multi-scale analysis of intraday financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 567(C).
  21. Shi, Wenbin & Shang, Pengjian & Wang, Jing & Lin, Aijing, 2014. "Multiscale multifractal detrended cross-correlation analysis of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 403(C), pages 35-44.
  22. Katahira, Kei & Chen, Yu & Akiyama, Eizo, 2021. "Self-organized Speculation Game for the spontaneous emergence of financial stylized facts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).
  23. Stefanescu, Razvan & Dumitriu, Ramona, 2016. "Particularitǎţi ale evoluţiei variabilelor financiare [Some particularities of the financial variables evolution]," MPRA Paper 73481, University Library of Munich, Germany, revised 02 Sep 2016.
  24. Yi-Hsien Wang & Chung-Chu Chuang, 2009. "Selecting the portfolio investment strategy under political structure change in United States," Quality & Quantity: International Journal of Methodology, Springer, vol. 43(5), pages 845-854, September.
  25. Shi, Wenbin & Shang, Pengjian & Xia, Jianan & Yeh, Chien-Hung, 2016. "The coupling analysis between stock market indices based on permutation measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 222-231.
  26. Kei Katahira & Yu Chen & Gaku Hashimoto & Hiroshi Okuda, 2019. "Development of an agent-based speculation game for higher reproducibility of financial stylized facts," Papers 1902.02040, arXiv.org.
  27. Seemann, Lars & Hua, Jia-Chen & McCauley, Joseph L. & Gunaratne, Gemunu H., 2012. "Ensemble vs. time averages in financial time series analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(23), pages 6024-6032.
  28. Katahira, Kei & Chen, Yu & Hashimoto, Gaku & Okuda, Hiroshi, 2019. "Development of an agent-based speculation game for higher reproducibility of financial stylized facts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 503-518.
  29. José Pedro Ramos-Requena & Juan Evangelista Trinidad-Segovia & Miguel Ángel Sánchez-Granero, 2020. "An Alternative Approach to Measure Co-Movement between Two Time Series," Mathematics, MDPI, vol. 8(2), pages 1-24, February.
  30. Aydiner, Ekrem & Cherstvy, Andrey G. & Metzler, Ralf, 2018. "Wealth distribution, Pareto law, and stretched exponential decay of money: Computer simulations analysis of agent-based models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 278-288.
  31. Yong Shi & Bo Li & Guangle Du, 2021. "Pyramid scheme in stock market: a kind of financial market simulation," Papers 2102.02179, arXiv.org, revised Feb 2021.
  32. Kei Katahira & Yu Chen, 2019. "An extended Speculation Game for the recovery of Hurst exponent of financial time series," Papers 1909.02899, arXiv.org.
  33. Ladislav Kristoufek, 2013. "Testing power-law cross-correlations: Rescaled covariance test," Papers 1307.4727, arXiv.org, revised Aug 2013.
  34. Yang, Honglin & Wan, Hong & Zha, Yong, 2013. "Autocorrelation type, timescale and statistical property in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(7), pages 1681-1693.
  35. Rossitsa Yalamova, 2012. "Fractal Measures in Market Microstructure Research," Multinational Finance Journal, Multinational Finance Journal, vol. 16(1-2), pages 137-154, March - J.
  36. Wang, Jian & Song, Weiguo & Zheng, Hongyang & Telesca, Luciano, 2010. "Temporal scaling behavior of human-caused fires and their connection to relative humidity of the atmosphere," Ecological Modelling, Elsevier, vol. 221(1), pages 85-89.
  37. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
  38. Bai, Man-Ying & Zhu, Hai-Bo, 2010. "Power law and multiscaling properties of the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(9), pages 1883-1890.
  39. Turiel, Antonio & Pérez-Vicente, Conrad J., 2003. "Multifractal geometry in stock market time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 322(C), pages 629-649.
  40. V. Gontis, 2002. "Multiplicative Stochastic Model of the Time Interval between Trades in Financial Markets," Papers cond-mat/0211317, arXiv.org.
  41. Yang, ChunXia & Hu, Sen & Xia, BingYing, 2012. "The endogenous dynamics of financial markets: Interaction and information dissemination," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3513-3525.
  42. Ma, Junjun & Xiong, Xiong & He, Feng & Zhang, Wei, 2017. "Volatility measurement with directional change in Chinese stock market: Statistical property and investment strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 169-180.
  43. Turiel, Antonio & Pérez-Vicente, Conrad J., 2005. "Role of multifractal sources in the analysis of stock market time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(2), pages 475-496.
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