Advanced search
Publication Cover
Applied Financial Economics Volume 11, 2001 - Issue 4
Submit an article Journal homepage
205
Views
64
CrossRef citations to date
0
Altmetric
Original Articles

Estimating fractal dimension using stable distributions and exploring long memory through ARFIMA models in Athens Stock Exchange

Epaminondas Panas
Pages 395-402 | Published online: 07 Oct 2010

Citations (64)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (4)

Xiaoxu Ding, Siyu Dai, Feier Chen, Yuqi Miao, Kang Tian, Yadong Zeng, Han Xu & Cao Qin. (2018) Long memory and scaling behavior study of bulk freight rate volatility with structural breaks. Transportation Letters 10:6, pages 343-353.
Read now
Stella Kanellopoulou & Epaminondas Panas. (2008) Empirical distributions of stock returns: Paris stock market, 1980–2003. Applied Financial Economics 18:16, pages 1289-1302.
Read now
Jun Nagayasu. (2008) Japanese stock movements from 1991 to 2005: evidence from high- and low-frequency data. Applied Financial Economics 18:4, pages 295-307.
Read now
Christos Christodoulou-Volos & Fotios M. Siokis. (2006) Long range dependence in stock market returns. Applied Financial Economics 16:18, pages 1331-1338.
Read now

Articles from other publishers (60)

Shuiyang Pan, Suwan(Cheng) Long, Yiming Wang & Ying Xie. (2023) Nonlinear asset pricing in Chinese stock market: A deep learning approach. International Review of Financial Analysis 87, pages 102627.
Crossref
Firat Melih Yilmaz & Engin Yildiztepe. (2022) Statistical Evaluation of Deep Learning Models for Stock Return Forecasting. Computational Economics.
Crossref
M. Belén Arouxet, Aurelio F. Bariviera, Verónica E. Pastor & Victoria Vampa. (2022) Covid-19 impact on cryptocurrencies: Evidence from a wavelet-based Hurst exponent. Physica A: Statistical Mechanics and its Applications 596, pages 127170.
Crossref
Avishek Bhandari, Ata Assaf & Rajendra N. Paramanik. 2022. Studies in International Economics and Finance. Studies in International Economics and Finance 599 616 .
Vasile Brătian, Ana-Maria Acu, Camelia Oprean-Stan, Emil Dinga & Gabriela-Mariana Ionescu. (2021) Efficient or Fractal Market Hypothesis? A Stock Indexes Modelling Using Geometric Brownian Motion and Geometric Fractional Brownian Motion. Mathematics 9:22, pages 2983.
Crossref
A. Gómez-Águila & M.A. Sánchez-Granero. (2021) A theoretical framework for the TTA algorithm. Physica A: Statistical Mechanics and its Applications 582, pages 126288.
Crossref
Ramashanti Naik & Y. V. Reddy. (2021) Examination of Long Memory in Indian Stock Market: A Sectoral Juxtaposition. FIIB Business Review, pages 231971452110402.
Crossref
Lorenzo Cristofaro, Luis A. Gil-Alana, Zhongfei Chen & Peter Wanke. (2021) Modelling stock market data in China: Crisis and Coronavirus. Finance Research Letters 41, pages 101865.
Crossref
Maria Mora Rodríguez, Francisco Flores Muñoz & Diego Valentinetti. (2020) Corporate impact of carbon disclosures: a nonlinear empirical approach. Journal of Financial Reporting and Accounting 19:1, pages 4-27.
Crossref
Vitalii Makogin, Marco Oesting, Albert Rapp & Evgeny Spodarev. (2020) Long range dependence for stable random processes. Journal of Time Series Analysis 42:2, pages 161-185.
Crossref
Avishek Bhandari & Bandi Kamaiah. (2020) Long Memory and Fractality Among Global Equity Markets: a Multivariate Wavelet Approach. Journal of Quantitative Economics 19:1, pages 23-37.
Crossref
Jean-Philippe Montillet, Xiaoxing He, Kegen Yu & Changliang Xiong. (2021) Application of Lévy processes in modelling (geodetic) time series with mixed spectra. Nonlinear Processes in Geophysics 28:1, pages 121-134.
Crossref
Bowen Yan, P.W. Chan, Q.S. Li, Y.C. He & Z.R. Shu. (2020) Characterising the fractal dimension of wind speed time series under different terrain conditions. Journal of Wind Engineering and Industrial Aerodynamics 201, pages 104165.
Crossref
Jean-Philippe Montillet, Machiel S. Bos, Timothy I. Melbourne, Simon D. P. Williams, Rui M. S. Fernandes & Walter M. Szeliga. 2020. Geodetic Time Series Analysis in Earth Sciences. Geodetic Time Series Analysis in Earth Sciences 317 344 .
Francisco Flores-Muñoz, Alberto Javier Báez-García & Josué Gutiérrez-Barroso. (2019) Fractional differencing in stock market price and online presence of global tourist corporations. Journal of Economics, Finance and Administrative Science 24:48, pages 194-204.
Crossref
Boyi Zhang & Pengjian Shang. (2019) Complexity and uncertainty analysis of financial stock markets based on entropy of scale exponential spectrum. Nonlinear Dynamics 98:3, pages 2147-2170.
Crossref
Mohammad Al-Shboul & Nizar Alsharari. (2019) The dynamic behavior of evolving efficiency: Evidence from the UAE stock markets. The Quarterly Review of Economics and Finance 73, pages 119-135.
Crossref
Jacinta Chan Phooi M’ng. (2018) Dynamically Adjustable Moving Average (AMA’) technical analysis indicator to forecast Asian Tigers’ futures markets. Physica A: Statistical Mechanics and its Applications 509, pages 336-345.
Crossref
Samet Gunay & Audil Khaki. (2018) Best Fitting Fat Tail Distribution for the Volatilities of Energy Futures: Gev, Gat and Stable Distributions in GARCH and APARCH Models. Journal of Risk and Financial Management 11:2, pages 30.
Crossref
Seonghyeon MoonSeokho ChiDu Yon Kim. (2018) Predicting Construction Cost Index Using the Autoregressive Fractionally Integrated Moving Average Model. Journal of Management in Engineering 34:2.
Crossref
Lisana B. Martinez, M. Belén Guercio, Aurelio Fernandez Bariviera & Antonio Terceño. (2016) The impact of the financial crisis on the long-range memory of European corporate bond and stock markets. Empirica 45:1, pages 1-15.
Crossref
J.-P. Montillet, T. I. Melbourne & W. M. Szeliga. (2018) GPS Vertical Land Motion Corrections to Sea-Level Rise Estimates in the Pacific Northwest. Journal of Geophysical Research: Oceans 123:2, pages 1196-1212.
Crossref
José Antonio Climent Hernández, Luis Fernando Hoyos Reyes & Domingo Rodríguez Benavides. (2017) The α -stable processes and their relationship with the exponent of self-similarity: Exchange rates of USA Dollar, Canadian Dollar, Euro and Yen. Contaduría y Administración 62:5, pages 1501-1522.
Crossref
José Antonio Climent Hernández, Luis Fernando Hoyos Reyes & Domingo Rodríguez Benavides. (2017) Los procesos α-estables y su relación con el exponente de autosimilitud: paridades de los tipos de cambio dólar estadounidense, dólar canadiense, euro y yen. Contaduría y Administración 62:5, pages 1479-1500.
Crossref
B. Rajkumar, S. Haque & W. Hrudey. (2017) Fractal Dimensions of Umbral and Penumbral Regions of Sunspots. Solar Physics 292:11.
Crossref
Aurelio F. Bariviera, María José Basgall, Waldo Hasperué & Marcelo Naiouf. (2017) Some stylized facts of the Bitcoin market. Physica A: Statistical Mechanics and its Applications 484, pages 82-90.
Crossref
Feier Chen, Yuqi Miao, Kang Tian, Xiaoxu Ding & Tingyi Li. (2017) Multifractal cross-correlations between crude oil and tanker freight rate. Physica A: Statistical Mechanics and its Applications 474, pages 344-354.
Crossref
Jiaqi Jiang & Rongbao Gu. (2016) Using Rényi parameter to improve the predictive power of singular value decomposition entropy on stock market. Physica A: Statistical Mechanics and its Applications 448, pages 254-264.
Crossref
Humberto Millán, Ramiro Cumbrera & Ana M. Tarquis. (2016) Multifractal and Levy-stable statistics of soil surface moisture distribution derived from 2D image analysis. Applied Mathematical Modelling 40:3, pages 2384-2395.
Crossref
Jean-Philippe Montillet & Kegen Yu. (2014) Modeling Geodetic Processes with Levy $$\alpha $$ α -Stable Distribution and FARIMA. Mathematical Geosciences 47:6, pages 627-646.
Crossref
Miguel Ángel Sánchez, Juan E. Trinidad, José García & Manuel Fernández. (2015) The Effect of the Underlying Distribution in Hurst Exponent Estimation. PLOS ONE 10:5, pages e0127824.
Crossref
Spilios Tzouras, Christoforos Anagnostopoulos & Emma McCoy. (2015) Financial time series modeling using the Hurst exponent. Physica A: Statistical Mechanics and its Applications 425, pages 50-68.
Crossref
Panagiotis Anagnostidis & Christos J. Emmanouilides. (2015) Nonlinearity in high-frequency stock returns: Evidence from the Athens Stock Exchange. Physica A: Statistical Mechanics and its Applications 421, pages 473-487.
Crossref
E. Rodriguez, M. Aguilar-Cornejo, R. Femat & J. Alvarez-Ramirez. (2014) US stock market efficiency over weekly, monthly, quarterly and yearly time scales. Physica A: Statistical Mechanics and its Applications 413, pages 554-564.
Crossref
Ying Yuan, Xin-tian Zhuang, Xiu Jin & Wei-qiang Huang. (2014) Stable distribution and long-range correlation of Brent crude oil market. Physica A: Statistical Mechanics and its Applications 413, pages 173-179.
Crossref
Julien Fouquau & Philippe Spieser. (2014) Stock Returns Memories: a “Stardust” Memory?. Finance Vol. 35:2, pages 57-85.
Crossref
M. Fernández-Martínez, M.A. Sánchez-Granero, J.E. Trinidad Segovia & I.M. Román-Sánchez. (2014) An accurate algorithm to calculate the Hurst exponent of self-similar processes. Physics Letters A 378:32-33, pages 2355-2362.
Crossref
Matthew Hull & Frank McGroarty. (2014) Do emerging markets become more efficient as they develop? Long memory persistence in equity indices. Emerging Markets Review 18, pages 45-61.
Crossref
M. Fernández-Martínez, M.A. Sánchez-Granero & J.E. Trinidad Segovia. (2013) Measuring the self-similarity exponent in Lévy stable processes of financial time series. Physica A: Statistical Mechanics and its Applications 392:21, pages 5330-5345.
Crossref
Xiaoqiang Lin & Fangyu Fei. (2013) Long memory revisit in Chinese stock markets: Based on GARCH-class models and multiscale analysis. Economic Modelling 31, pages 265-275.
Crossref
Ladislav Kristoufek & Miloslav Vosvrda. (2013) Measuring capital market efficiency: Global and local correlations structure. Physica A: Statistical Mechanics and its Applications 392:1, pages 184-193.
Crossref
Abdullah Yalama & Sibel Celik. (2013) Real or spurious long memory characteristics of volatility: Empirical evidence from an emerging market. Economic Modelling 30, pages 67-72.
Crossref
Jose Alvarez-Ramirez, Eduardo Rodriguez & Gilberto Espinosa-Paredes. (2012) Is the US stock market becoming weakly efficient over time? Evidence from 80-year-long data. Physica A: Statistical Mechanics and its Applications 391:22, pages 5643-5647.
Crossref
Oskar Vivero & William P. Heath. (2012) Regularised Estimators for ARFIMA Processes. IFAC Proceedings Volumes 45:16, pages 298-303.
Crossref
Ying Yuan, Xin-tian Zhuang & Zhi-ying Liu. (2012) Price–volume multifractal analysis and its application in Chinese stock markets. Physica A: Statistical Mechanics and its Applications 391:12, pages 3484-3495.
Crossref
Esmaiel Abounoori, Mahdi Shahrazi & Saeed Rasekhi. (2012) An investigation of Forex market efficiency based on detrended fluctuation analysis: A case study for Iran. Physica A: Statistical Mechanics and its Applications 391:11, pages 3170-3179.
Crossref
M. J. Sánchez-Granero, M. Fernández-Martínez & J. E. Trinidad-Segovia. (2012) Introducing fractal dimension algorithms to calculate the Hurst exponent of financial time series. The European Physical Journal B 85:3.
Crossref
Aurelio Fernández Bariviera. (2011) The influence of liquidity on informational efficiency: The case of the Thai Stock Market. Physica A: Statistical Mechanics and its Applications 390:23-24, pages 4426-4432.
Crossref
Joel Tenenbaum, Davor Horvatić, Slavica Cosović Bajić, Bećo Pehlivanović, Boris Podobnik & H. Eugene Stanley. (2010) Comparison between response dynamics in transition economies and developed economies. Physical Review E 82:4.
Crossref
Ladislav Krištoufek. 2010. Money, Banking and Financial Markets in Central and Eastern Europe. Money, Banking and Financial Markets in Central and Eastern Europe 98 118 .
Oskar Vivero & William P. Heath. (2009) On MLE methods for dynamical systems with fractionally differenced noise spectra. On MLE methods for dynamical systems with fractionally differenced noise spectra.
Fei-xue Huang, Yan Zhao & Tie-shan Hou. (2009) Long memory and leverage effect of Euro exchange rate based on ARFIMA-FIEGARCH. Long memory and leverage effect of Euro exchange rate based on ARFIMA-FIEGARCH.
Daniel O. Cajueiro, Periklis Gogas & Benjamin M. Tabak. (2009) Does financial market liberalization increase the degree of market efficiency? The case of the Athens stock exchange. International Review of Financial Analysis 18:1-2, pages 50-57.
Crossref
Robert DiSario, Hakan Saraoglu, Joseph McCarthy & Hsi Li. (2008) Long memory in the volatility of an emerging equity market: The case of Turkey. Journal of International Financial Markets, Institutions and Money 18:4, pages 305-312.
Crossref
M.A. Sánchez Granero, J.E. Trinidad Segovia & J. García Pérez. (2008) Some comments on Hurst exponent and the long memory processes on capital markets. Physica A: Statistical Mechanics and its Applications 387:22, pages 5543-5551.
Crossref
Calum G. Turvey. (2007) A note on scaled variance ratio estimation of the Hurst exponent with application to agricultural commodity prices. Physica A: Statistical Mechanics and its Applications 377:1, pages 155-165.
Crossref
Hong-quan Li & Chao-qun Ma. (2006) The Behavior of Stock Prices: Random Walk or Chaotic Dynamics. The Behavior of Stock Prices: Random Walk or Chaotic Dynamics.
CHAOQUN MA, HONGQUAN LI, LIN ZOU & ZHIJIAN WU. (2011) LONG-TERM MEMORY IN EMERGING MARKETS: EVIDENCE FROM THE CHINESE STOCK MARKET. International Journal of Information Technology & Decision Making 05:03, pages 495-501.
Crossref
Boris Podobnik, Dongfeng Fu, Timotej Jagric, Ivo Grosse & H. Eugene Stanley. (2006) Fractionally integrated process for transition economics. Physica A: Statistical Mechanics and its Applications 362:2, pages 465-470.
Crossref
Murugesan Selvam, Gayathri Jayapal & Saranya G.. (2011) Fractal Structure Analysis in the Indian Stock Market. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.