Citations (49)
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Ruipeng Liu & Thomas Lux. (2015) Non-homogeneous volatility correlations in the bivariate multifractal model. The European Journal of Finance 21:12, pages 971-991.
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Thomas Lux & Leonardo Morales-Arias. (2013) Relative forecasting performance of volatility models: Monte Carlo evidence. Quantitative Finance 13:9, pages 1375-1394.
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Boris Podobnik, Duan Wang & H.
Eugene Stanley. (2012) High-frequency trading model for a complex trading hierarchy. Quantitative Finance 12:4, pages 559-566.
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Thomas Lux. (2001) The limiting extremal behaviour of speculative returns: an analysis of intra-daily data from the Frankfurt Stock Exchange. Applied Financial Economics 11:3, pages 299-315.
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Articles from other publishers (45)
Naliniprava Tripathy. (2022) Long memory and volatility persistence across BRICS stock markets. Research in International Business and Finance, pages 101782.
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Ramashanti Naik & Y. V. Reddy. (2021) Examination of Long Memory in Indian Stock Market: A Sectoral Juxtaposition. FIIB Business Review, pages 231971452110402.
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Walid Mensi, Aviral Kumar Tiwari & Khamis Hamed Al-Yahyaee. (2019) An analysis of the weak form efficiency, multifractality and long memory of global, regional and European stock markets. The Quarterly Review of Economics and Finance 72, pages 168-177.
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Hidetoshi Konno & Imre Pázsit. (2018) Fractional Linear Birth-Death Stochastic Process—An Application of Heun's Differential Equation. Reports on Mathematical Physics 82:1, pages 1-20.
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Hidetoshi Konno. (2017) Birth–Death Stochastic Process of Optical Rogue Wave Described by Fractional Master Equation — Application of Confluent Heun Differential Equation —. Journal of the Physical Society of Japan 86:6, pages 064001.
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Ardeshir Ahmadi & Hamed Davari-Ardakani. (2017) A multistage stochastic programming framework for cardinality constrained portfolio optimization. Numerical Algebra, Control & Optimization 7:3, pages 359-377.
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Ahmet Sensoy & Benjamin M. Tabak. (2015) Time-varying long term memory in the European Union stock markets. Physica A: Statistical Mechanics and its Applications 436, pages 147-158.
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Thomas Lux, Leonardo Morales‐Arias & Cristina Sattarhoff. (2014) Forecasting Daily Variations of Stock Index Returns with a Multifractal Model of Realized Volatility. Journal of Forecasting 33:7, pages 532-541.
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Siew Ann Cheong. (2014) Econophysics: An Experimental Course for Advanced Undergraduates in the Nanyang Technological University. IIM Kozhikode Society & Management Review 2:2, pages 79-99.
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Haijie Zhao, Jie Zhou, Anghui Zhang, Guifeng Su & Yi Zhang. (2013) Self-organizing Ising model of artificial financial markets with small-world network topology. EPL (Europhysics Letters) 101:1, pages 18001.
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Amitava Sarkar, Gagari Chakrabarti & Chitrakalpa Sen. 2013. Development and Sustainability. Development and Sustainability
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Miguel A. Rivera-Castro, José G.V. Miranda, Daniel O. Cajueiro & Roberto F.S. Andrade. (2012) Detecting switching points using asymmetric detrended fluctuation analysis. Physica A: Statistical Mechanics and its Applications 391:1-2, pages 170-179.
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Hongseok Kim, Gabjin Oh & Seunghwan Kim. (2011) Multifractal analysis of the Korean agricultural market. Physica A: Statistical Mechanics and its Applications 390:23-24, pages 4286-4292.
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Imène Mootamri. (2011) Long Memory Process in Asset Returns with Multivariate GARCH Innovations. Economics Research International 2011, pages 1-15.
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D. B. Saakian, A. Martirosyan, Chin-Kun Hu & Z. R. Struzik. (2011) Exact probability distribution function for multifractal random walk models of stocks. EPL (Europhysics Letters) 95:2, pages 28007.
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Demetris Koutsoyiannis. (2011) Hurst–Kolmogorov dynamics as a result of extremal entropy production. Physica A: Statistical Mechanics and its Applications 390:8, pages 1424-1432.
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Thomas Lux & Leonardo Morales-Arias. (2010) Forecasting volatility under fractality, regime-switching, long memory and student- innovations. Computational Statistics & Data Analysis 54:11, pages 2676-2692.
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Luciano Zunino, Alejandra Figliola, Benjamin M. Tabak, Darío G. Pérez, Mario Garavaglia & Osvaldo A. Rosso. (2009) Multifractal structure in Latin-American market indices. Chaos, Solitons & Fractals 41:5, pages 2331-2340.
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Mikhail I. Bogachev & Armin Bunde. (2009) Improved risk estimation in multifractal records: Application to the value at risk in finance. Physical Review E 80:2.
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Sabine Lennartz & Armin Bunde. (2009) Eliminating finite-size effects and detecting the amount of white noise in short records with long-term memory. Physical Review E 79:6.
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RUIPENG LIU, T. DI MATTEO & THOMAS LUX. (2011) MULTIFRACTALITY AND LONG-RANGE DEPENDENCE OF ASSET RETURNS: THE SCALING BEHAVIOR OF THE MARKOV-SWITCHING MULTIFRACTAL MODEL WITH LOGNORMAL VOLATILITY COMPONENTS. Advances in Complex Systems 11:05, pages 669-684.
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Mikhail I. Bogachev & Armin Bunde. (2008) Memory effects in the statistics of interoccurrence times between large returns in financial records. Physical Review E 78:3.
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Michail Vlachos, Kun-Lung Wu, Shyh-Kwei Chen & Philip S. Yu. (2007) Correlating burst events on streaming stock market data. Data Mining and Knowledge Discovery 16:1, pages 109-133.
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E. Bacry, A. Kozhemyak & Jean-François Muzy. (2008) Continuous cascade models for asset returns. Journal of Economic Dynamics and Control 32:1, pages 156-199.
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L. Zunino, B. M. Tabak, D. G. Pérez, M. Garavaglia & O. A. Rosso. (2007) Inefficiency in Latin-American market indices. The European Physical Journal B 60:1, pages 111-121.
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Ruipeng Liu, T. Di Matteo & Thomas Lux. (2007) True and apparent scaling: The proximity of the Markov-switching multifractal model to long-range dependence. Physica A: Statistical Mechanics and its Applications 383:1, pages 35-42.
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Ikuo Matsuba & Hiroshi Takahashi. (2003) Generalized entropy approach to stable Lèvy distributions with financial application. Physica A: Statistical Mechanics and its Applications 319, pages 458-468.
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Rafał Weron. (2002) Estimating long-range dependence: finite sample properties and confidence intervals. Physica A: Statistical Mechanics and its Applications 312:1-2, pages 285-299.
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THOMAS LUX & MICHELE MARCHESI. (2011) VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS. International Journal of Theoretical and Applied Finance 03:04, pages 675-702.
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Vasiliki Plerou, Parameswaran Gopikrishnan, Bernd Rosenow, Luis A.N. Amaral & H.Eugene Stanley. (2000) Econophysics: financial time series from a statistical physics point of view. Physica A: Statistical Mechanics and its Applications 279:1-4, pages 443-456.
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Yanhui Liu, Parameswaran Gopikrishnan, Cizeau, Meyer, Peng & H. Eugene Stanley. (1999) Statistical properties of the volatility of price fluctuations. Physical Review E 60:2, pages 1390-1400.
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H.E Stanley, L.A.N Amaral, D Canning, P Gopikrishnan, Y Lee & Y Liu. (1999) Econophysics: Can physicists contribute to the science of economics?. Physica A: Statistical Mechanics and its Applications 269:1, pages 156-169.
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Thomas Lux & Michele Marchesi. (1999) Scaling and criticality in a stochastic multi-agent model of a financial market. Nature 397:6719, pages 498-500.
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Fulvio Corsi. (2004) A Simple Long Memory Model of Realized Volatility. SSRN Electronic Journal.
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