Fluctuation scaling and covariance matrix of constituents' flows on a bipartite graph empirical analysis with high-frequency financial data based on a Poisson mixture model
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Publication:614551
DOI10.1140/epjb/e2010-00252-9zbMath1202.91269OpenAlexW1505652911WikidataQ57710147 ScholiaQ57710147MaRDI QIDQ614551
Publication date: 4 January 2011
Published in: The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1140/epjb/e2010-00252-9
Cites Work
- On covariance estimation of non-synchronously observed diffusion processes
- Multivariate time changes for Lévy asset models: characterization and calibration
- Time Changes for Lévy Processes
- The Price Variability-Volume Relationship on Speculative Markets
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- Similarity, Clustering, and Scaling Analyses for the Foreign Exchange Market
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