Statistical Finance · Quantitative Finance
Scaling and multiscaling in financial series: a simple model
Alessandro Andreoli, Francesco Caravenna, Paolo Dai Pra, Gustavo Posta
2012-04-20
Statistical Mechanics · Physics
The statistical properties of the volatility of price fluctuations
Yanhui Liu, Parameswaran Gopikrishnan, Pierre Cizeau, Martin Meyer +2
2009-10-31
Statistical Finance · Quantitative Finance
Statistical analysis of the overnight and daytime return
Fengzhong Wang, Shwu-Jane Shieh, Shlomo Havlin, H. Eugene Stanley
2009-06-02
Statistical Mechanics · Physics
Multiscaling and non-universality in fluctuations of driven complex systems
Zoltan Eisler, Janos Kertesz, Soon-Hyung Yook, Albert-Laszlo Barabasi
2008-12-02
General Finance · Quantitative Finance
How volatilities nonlocal in time affect the price dynamics in complex financial systems
Lei Tan, Bo Zheng, Jun-Jie Chen, Xiong-Fei Jiang
2015-02-04
Statistical Mechanics · Physics
Scaling of the distribution of price fluctuations of individual companies
V. Plerou, P. Gopikrishnan, L. A. N. Amaral, M. Meyer +1
2009-10-31
Statistical Finance · Quantitative Finance
Time-scale effects on the gain-loss asymmetry in stock indices
Bulcsú Sándor, Ingve Simonsen, Bálint Zsolt Nagy, Zoltán Néda
2016-08-24
General Finance · Quantitative Finance
Stochastic model of financial markets reproducing scaling and memory in volatility return intervals
Vygintas Gontis, Shlomo Havlin, Aleksejus Kononovicius, Boris Podobnik +1
2016-10-26
Condensed Matter · Physics
Power-law temporal auto-correlations in day-long records of human physical activity and their alteration with disease
Luis A. Nunes Amaral, Danyel J. Bezerra Soares, Luciano R. da Silva, Liacir S. Lucena +4
2007-05-23
Statistical Mechanics · Physics
Scaling of the distribution of fluctuations of financial market indices
Parameswaran Gopikrishnan, Vasiliki Plerou, Luis A. Nunes Amaral, Martin Meyer +1
2009-10-31
Statistical Mechanics · Physics
Activity autocorrelation in financial markets. A comparative study between several models
Luigi Palatella, Josep Perello, Miquel Montero, Jaume Masoliver
2009-11-10
Other Condensed Matter · Physics
Modeling stylized facts for financial time series
M. I. Krivoruchenko, E. Alessio, V. Frappietro, L. J. Streckert
2009-11-10
Statistical Finance · Quantitative Finance
Predicting market instability: New dynamics between volume and volatility
Zeyu Zheng, Zhi Qiao, Joel N. Tenenbaum, H. Eugene Stanley +1
2014-03-21