Long-range power-law correlations in stock returns

DOI10.1016/S0378-4371(01)00248-5zbMath0972.91055MaRDI QIDQ5945408

Pilar Grau-Carles

Publication date: 10 October 2001

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

zbMATH Keywords

fluctuation analysiscross-over

Mathematics Subject Classification ID

Related Items (10)

Persistence in complex systems ⋮ Detrended fluctuation analysis based on higher-order moments of financial time series ⋮ Multiscale statistical behaviors for Ising financial dynamics with continuum percolation jump ⋮ Two-dimensional matrix algorithm using detrended fluctuation analysis to distinguish Burkitt and diffuse large B-cell lymphoma ⋮ Weighted multifractal cross-correlation analysis based on Shannon entropy ⋮ Lattice-oriented percolation system applied to volatility behavior of stock market ⋮ Power-law scaling behavior analysis of financial time series model by voter interacting dynamic system ⋮ Complex Similarity and Fluctuation Dynamics of Financial Markets on Voter Interacting Dynamic System ⋮ Nonlinear analysis of return time series model by oriented percolation dynamic system ⋮ A DYNAMICAL APPROACH TO STOCK MARKET FLUCTUATIONS

Cites Work

• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

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