Decomposing the stock market intraday dynamics

DOI10.1016/S0378-4371(02)00613-1zbMath0995.91021arXivcond-mat/0108068MaRDI QIDQ1598989

F. Grümmer, F. Ruf, S. Drożdż, J. Speth, J. Kwapień

Publication date: 4 June 2002

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0108068

zbMATH Keywords

noisecorrelation matrix formalismcoherent repeatable intraday structure

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (2)

Alternation of different fluctuation regimes in the stock market dynamics ⋮ Financial multifractality and its subtleties: An example of DAX

Cites Work

• On a class of analytic functions from the quantum theory of collisions
• Introduction to Econophysics
• Towards identifying the world stock market cross-correlations: DAX versus Dow Jones
• Quantifying the dynamics of financial correlations
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