-
1
-
-
18544373378
-
Anomalous waiting times in high-frequency financial data
-
DOI 10.1080/14697680500040413
-
E. Scalas, R. Gorenflo, H. Luckock, F. Mainardi, M. Mantelli, and M. Raberto, Quant. Finance 4, 695 (2004). 10.1080/14697680500040413 (Pubitemid 40659504)
-
(2004)
Quantitative Finance
, vol.4
, Issue.6
, pp. 695-702
-
-
Scalas, E.1
Gorenflo, R.2
Luckock, H.3
Mainardi, F.4
Mantelli, M.5
Raberto, M.6
-
2
-
-
42749102433
-
-
10.1103/PhysRevE.69.056107
-
P. C. Ivanov, A. Yuen, B. Podobnik, and Y.-K. Lee, Phys. Rev. E 69, 056107 (2004). 10.1103/PhysRevE.69.056107
-
(2004)
Phys. Rev. e
, vol.69
, pp. 056107
-
-
Ivanov, P.C.1
Yuen, A.2
Podobnik, B.3
Lee, Y.-K.4
-
3
-
-
33846169117
-
On the gap between an empirical distribution and an exponential distribution of waiting times for price changes in a financial market
-
DOI 10.1016/j.physa.2006.10.094, PII S0378437106011344
-
N. Sazuka, Physica A 376, 500 (2007). 10.1016/j.physa.2006.10.094 (Pubitemid 46080634)
-
(2007)
Physica A: Statistical Mechanics and its Applications
, vol.376
, Issue.1-2
, pp. 500-506
-
-
Sazuka, N.1
-
5
-
-
0037057181
-
-
10.1142/S0217984902004494
-
B. Zheng, Mod. Phys. Lett. B 16, 775 (2002). 10.1142/S0217984902004494
-
(2002)
Mod. Phys. Lett. B
, vol.16
, pp. 775
-
-
Zheng, B.1
-
6
-
-
18844465894
-
-
10.1016/S0375-9601(03)00759-X
-
F. Ren and B. Zheng, Phys. Lett. A 313, 312 (2003). 10.1016/S0375- 9601(03)00759-X
-
(2003)
Phys. Lett. A
, vol.313
, pp. 312
-
-
Ren, F.1
Zheng, B.2
-
7
-
-
14844292149
-
Persistence probabilities of the German DAX and Shanghai Index
-
DOI 10.1016/j.physa.2004.11.054, PII S0378437104014955
-
F. Ren, B. Zheng, H. Lin, L. Wen, and S. Trimper, Physica A 350, 439 (2005). 10.1016/j.physa.2004.11.054 (Pubitemid 40338103)
-
(2005)
Physica A: Statistical Mechanics and its Applications
, vol.350
, Issue.2-4
, pp. 439-450
-
-
Ren, F.1
Zheng, B.2
Lin, H.3
Wen, L.Y.4
Trimper, S.5
-
8
-
-
0037920242
-
Optimal investment horizons
-
DOI 10.1140/epjb/e2002-00193-x
-
I. Simonsen, M. H. Jensen, and A. Johansen, Eur. Phys. J. B 27, 583 (2002). 10.1140/epjb/e2002-00193-x (Pubitemid 135698264)
-
(2002)
European Physical Journal B
, vol.27
, Issue.4
, pp. 583-586
-
-
Simonsen, I.1
Jensen, M.H.2
Johansen, A.3
-
12
-
-
33845423645
-
Gain-loss asymmetry for emerging stock markets
-
DOI 10.1016/j.physa.2006.10.003, PII S0378437106010417
-
K. Karpio, M. A. Załuska-Kotur, and A. Orłowski, Physica A 375, 599 (2007). 10.1016/j.physa.2006.10.003 (Pubitemid 44894777)
-
(2007)
Physica A: Statistical Mechanics and its Applications
, vol.375
, Issue.2
, pp. 599-604
-
-
Karpio, K.1
Zaluska-Kotur, M.A.2
Orlowski, A.3
-
14
-
-
0344550320
-
-
10.1016/j.physa.2003.08.004
-
A. Bunde, J. F. Eichner, S. Havlin, and J. W. Kantelhardt, Physica A 330, 1 (2003). 10.1016/j.physa.2003.08.004
-
(2003)
Physica A
, vol.330
, pp. 1
-
-
Bunde, A.1
Eichner, J.F.2
Havlin, S.3
Kantelhardt, J.W.4
-
15
-
-
4544330996
-
-
10.1016/j.physa.2004.01.069
-
A. Bunde, J. F. Eichner, S. Havlin, and J. W. Kantelhardt, Physica A 342, 308 (2004). 10.1016/j.physa.2004.01.069
-
(2004)
Physica A
, vol.342
, pp. 308
-
-
Bunde, A.1
Eichner, J.F.2
Havlin, S.3
Kantelhardt, J.W.4
-
16
-
-
18044389524
-
Long-term memory: A natural mechanism for the clustering of extreme events and anomalous residual times in climate records
-
DOI 10.1103/PhysRevLett.94.048701, 048701
-
A. Bunde, J. F. Eichner, J. W. Kantelhardt, and S. Havlin, Phys. Rev. Lett. 94, 048701 (2005). 10.1103/PhysRevLett.94.048701 (Pubitemid 40607263)
-
(2005)
Physical Review Letters
, vol.94
, Issue.4
, pp. 1-4
-
-
Bunde, A.1
Eichner, J.F.2
Kantelhardt, J.W.3
Havlin, S.4
-
17
-
-
33747350774
-
-
10.1103/PhysRevLett.97.078501
-
A. Saichev and D. Sornette, Phys. Rev. Lett. 97, 078501 (2006). 10.1103/PhysRevLett.97.078501
-
(2006)
Phys. Rev. Lett.
, vol.97
, pp. 078501
-
-
Saichev, A.1
Sornette, D.2
-
18
-
-
1642586090
-
-
10.1016/j.physa.2003.12.054
-
T. Kaizoji and M. Kaizoji, Physica A 336, 563 (2004). 10.1016/j.physa.2003.12.054
-
(2004)
Physica A
, vol.336
, pp. 563
-
-
Kaizoji, T.1
Kaizoji, M.2
-
19
-
-
21544466975
-
Scaling and memory in volatility return intervals in financial markets
-
DOI 10.1073/pnas.0502613102
-
K. Yamasaki, L. Muchnik, S. Havlin, A. Bunde, and H. E. Stanley, Proc. Natl. Acad. Sci. U.S.A. 102, 9424 (2005). 10.1073/pnas.0502613102 (Pubitemid 40923579)
-
(2005)
Proceedings of the National Academy of Sciences of the United States of America
, vol.102
, Issue.26
, pp. 9424-9428
-
-
Yamasaki, K.1
Muchnik, L.2
Havlin, S.3
Bunde, A.4
Stanley, H.E.5
-
20
-
-
33344468710
-
Scaling and memory of intraday volatility return intervals in stock markets
-
DOI 10.1103/PhysRevE.73.026117
-
F.-Z. Wang, K. Yamasaki, S. Havlin, and H. E. Stanley, Phys. Rev. E 73, 026117 (2006). 10.1103/PhysRevE.73.026117 (Pubitemid 43287708)
-
(2006)
Physical Review E - Statistical, Nonlinear, and Soft Matter Physics
, vol.73
, Issue.2
, pp. 026117
-
-
Wang, F.1
Yamasaki, K.2
Havlin, S.3
Stanley, H.E.4
-
22
-
-
33847288862
-
Statistical regularities in the return intervals of volatility
-
DOI 10.1140/epjb/e2006-00356-9
-
F. Wang, P. Weber, K. Yamasaki, S. Havlin, and H. E. Stanley, Eur. Phys. J. B 55, 123 (2007). 10.1140/epjb/e2006-00356-9 (Pubitemid 46325946)
-
(2007)
European Physical Journal B
, vol.55
, Issue.2
, pp. 123-133
-
-
Wang, F.1
Weber, P.2
Yamasaki, K.3
Havlin, S.4
Stanley, H.E.5
-
23
-
-
39449113325
-
Comparison between volatility return intervals of the S&P 500 index and two common models
-
DOI 10.1140/epjb/e2008-00066-4
-
I. Vodenska-Chitkushev, F.-Z. Wang, P. Weber, K. Yamasaki, S. Havlin, and H. E. Stanley, Eur. Phys. J. B 61, 217 (2008). 10.1140/epjb/e2008-00066-4 (Pubitemid 351265343)
-
(2008)
European Physical Journal B
, vol.61
, Issue.2
, pp. 217-223
-
-
Vodenska-Chitkushev, I.1
Wang, F.Z.2
Weber, P.3
Yamasaki, K.4
Havlin, S.5
Stanley, H.E.6
-
24
-
-
41549127422
-
-
10.1140/epjb/e2008-00123-0
-
W.-S. Jung, F.-Z. Wang, S. Havlin, T. Kaizoji, H. T. Moon, and H. E. Stanley, Eur. Phys. J. B 62, 113 (2008). 10.1140/epjb/e2008-00123-0
-
(2008)
Eur. Phys. J. B
, vol.62
, pp. 113
-
-
Jung, W.-S.1
Wang, F.-Z.2
Havlin, S.3
Kaizoji, T.4
Moon, H.T.5
Stanley, H.E.6
-
25
-
-
38849205421
-
Indication of multiscaling in the volatility return intervals of stock markets
-
DOI 10.1103/PhysRevE.77.016109
-
F.-Z. Wang, K. Yamasaki, S. Havlin, and H. E. Stanley, Phys. Rev. E 77, 016109 (2008). 10.1103/PhysRevE.77.016109 (Pubitemid 351190308)
-
(2008)
Physical Review E - Statistical, Nonlinear, and Soft Matter Physics
, vol.77
, Issue.1
, pp. 016109
-
-
Wang, F.1
Yamasaki, K.2
Havlin, S.3
Stanley, H.E.4
-
26
-
-
53749084197
-
-
10.1016/j.physa.2008.09.002
-
T. Qiu, L. Guo, and G. Chen, Physica A 387, 6812 (2008). 10.1016/j.physa.2008.09.002
-
(2008)
Physica A
, vol.387
, pp. 6812
-
-
Qiu, T.1
Guo, L.2
Chen, G.3
-
27
-
-
63749125208
-
-
10.1209/0295-5075/84/68001
-
F. Ren and W.-X. Zhou, EPL 84, 68001 (2008). 10.1209/0295-5075/84/68001
-
(2008)
EPL
, vol.84
, pp. 68001
-
-
Ren, F.1
Zhou, W.-X.2
-
28
-
-
58149326719
-
-
10.1016/j.physa.2008.12.005
-
F. Ren, L. Guo, and W.-X. Zhou, Physica A 388, 881 (2009). 10.1016/j.physa.2008.12.005
-
(2009)
Physica A
, vol.388
, pp. 881
-
-
Ren, F.1
Guo, L.2
Zhou, W.-X.3
-
29
-
-
69549120314
-
-
10.1016/j.physa.2009.08.009
-
F. Ren, G.-F. Gu, and W.-X. Zhou, Physica A 388, 4787 (2009). 10.1016/j.physa.2009.08.009
-
(2009)
Physica A
, vol.388
, pp. 4787
-
-
Ren, F.1
Gu, G.-F.2
Zhou, W.-X.3
-
30
-
-
77951206136
-
-
in edited by H. Takayasu (Springer-Verlag, Berlin, 10.1007/4-431-28915-1- 7
-
K. Yamasaki, L. Muchnik, S. Havlin, A. Bunde, and H. E. Stanley, in Practical Fruits of Econophysics, edited by, H. Takayasu, (Springer-Verlag, Berlin, 2006), pp. 43-51. 10.1007/4-431-28915-1-7
-
(2006)
Practical Fruits of Econophysics
, pp. 43-51
-
-
Yamasaki, K.1
Muchnik, L.2
Havlin, S.3
Bunde, A.4
Stanley, H.E.5
-
31
-
-
36949018421
-
Effect of nonlinear correlations on the statistics of return intervals in multifractal data sets
-
DOI 10.1103/PhysRevLett.99.240601
-
M. I. Bogachev, J. F. Eichner, and A. Bunde, Phys. Rev. Lett. 99, 240601 (2007). 10.1103/PhysRevLett.99.240601 (Pubitemid 350243211)
-
(2007)
Physical Review Letters
, vol.99
, Issue.24
, pp. 240601
-
-
Bogachev, M.I.1
Eichner, J.F.2
Bunde, A.3
-
32
-
-
54749152152
-
-
10.1103/PhysRevE.78.036114
-
M. I. Bogachev and A. Bunde, Phys. Rev. E 78, 036114 (2008). 10.1103/PhysRevE.78.036114
-
(2008)
Phys. Rev. e
, vol.78
, pp. 036114
-
-
Bogachev, M.I.1
Bunde, A.2
-
33
-
-
70349479762
-
-
10.1103/PhysRevE.80.026131
-
M. I. Bogachev and A. Bunde, Phys. Rev. E 80, 026131 (2009). 10.1103/PhysRevE.80.026131
-
(2009)
Phys. Rev. e
, vol.80
, pp. 026131
-
-
Bogachev, M.I.1
Bunde, A.2
-
34
-
-
77953447345
-
-
e-print arXiv:0909.0123.
-
F. Ren and W.-X. Zhou, e-print arXiv:0909.0123.
-
-
-
Ren, F.1
Zhou, W.-X.2
-
35
-
-
26944478850
-
Recurrence time analysis, long-term correlations, and extreme events
-
DOI 10.1103/PhysRevE.71.056106, 056106
-
E. G. Altmann and H. Kantz, Phys. Rev. E 71, 056106 (2005). 10.1103/PhysRevE.71.056106 (Pubitemid 41480994)
-
(2005)
Physical Review E - Statistical, Nonlinear, and Soft Matter Physics
, vol.71
, Issue.5
, pp. 1-4
-
-
Altmann, E.G.1
Kantz, H.2
-
38
-
-
84977728940
-
-
10.2307/2328693
-
J. Hasbrouck, J. Financ. 46, 179 (1991). 10.2307/2328693
-
(1991)
J. Financ.
, vol.46
, pp. 179
-
-
Hasbrouck, J.1
-
39
-
-
0034297475
-
-
10.1103/PhysRevE.62.R4493
-
P. Gopikrishnan, V. Plerou, X. Gabaix, and H. E. Stanley, Phys. Rev. E 62, R4493 (2000). 10.1103/PhysRevE.62.R4493
-
(2000)
Phys. Rev. e
, vol.62
, pp. 4493
-
-
Gopikrishnan, P.1
Plerou, V.2
Gabaix, X.3
Stanley, H.E.4
-
40
-
-
3042831202
-
A theory of power-law distributions in financial market fluctuations
-
DOI 10.1038/nature01624
-
X. Gabaix, P. Gopikrishnan, V. Plerou, and H. E. Stanley, Nature (London) 423, 267 (2003). 10.1038/nature01624 (Pubitemid 40852693)
-
(2003)
Nature
, vol.423
, Issue.6937
, pp. 267-270
-
-
Gabaix, X.1
Gopikrishnan, P.2
Plerou, V.3
Stanley, H.E.4
-
41
-
-
20244384089
-
Econophysics: Master curve for price-impact function
-
DOI 10.1038/421129a
-
F. Lillo, J. D. Farmer, and R. Mantegna, Nature (London) 421, 129 (2003). 10.1038/421129a (Pubitemid 36090971)
-
(2003)
Nature
, vol.421
, Issue.6919
, pp. 129-130
-
-
Lillo, F.1
Farmer, J.D.2
Mantegna, R.N.3
-
42
-
-
26644432284
-
The immediate price impact of trades on the Australian stock exchange
-
DOI 10.1080/14697680500151400
-
M. Lim and R. Coggins, Quant. Finance 5, 365 (2005). 10.1080/ 14697680500151400 (Pubitemid 41441182)
-
(2005)
Quantitative Finance
, vol.5
, Issue.4
, pp. 365-377
-
-
Lim, M.1
Coggins, R.2
-
43
-
-
77953416496
-
-
e-print arXiv:0708.3198.
-
W.-X. Zhou, e-print arXiv:0708.3198.
-
-
-
Zhou, W.-X.1
-
44
-
-
70350061914
-
-
10.1103/PhysRevE.80.046304
-
C. Liu, Z.-Q. Jiang, F. Ren, and W.-X. Zhou, Phys. Rev. E 80, 046304 (2009). 10.1103/PhysRevE.80.046304
-
(2009)
Phys. Rev. e
, vol.80
, pp. 046304
-
-
Liu, C.1
Jiang, Z.-Q.2
Ren, F.3
Zhou, W.-X.4
-
45
-
-
79051468955
-
-
10.1209/0295-5075/86/66002
-
M. I. Bogachev and A. Bunde, EPL 86, 66002 (2009). 10.1209/0295-5075/86/ 66002
-
(2009)
EPL
, vol.86
, pp. 66002
-
-
Bogachev, M.I.1
Bunde, A.2
-
46
-
-
79051470786
-
-
10.1209/0295-5075/87/68001
-
S. M. Cai, Z. Q. Fu, T. Zhou, J. Gu, and P. L. Zhou, EPL 87, 68001 (2009). 10.1209/0295-5075/87/68001
-
(2009)
EPL
, vol.87
, pp. 68001
-
-
Cai, S.M.1
Fu, Z.Q.2
Zhou, T.3
Gu, J.4
Zhou, P.L.5
-
48
-
-
44849122540
-
Understanding individual human mobility patterns
-
DOI 10.1038/nature06958, PII NATURE06958
-
M. C. González, C. A. Hidalgo, and A.-L. Barabási, Nature (London) 453, 779 (2008). 10.1038/nature06958 (Pubitemid 351793783)
-
(2008)
Nature
, vol.453
, Issue.7196
, pp. 779-782
-
-
Gonzalez, M.C.1
Hidalgo, C.A.2
Barabasi, A.-L.3
-
50
-
-
0007023428
-
-
10.2307/2334145
-
M. A. Stephens, Biometrika 51, 393 (1964). 10.2307/2334145
-
(1964)
Biometrika
, vol.51
, pp. 393
-
-
Stephens, M.A.1
-
52
-
-
34547856203
-
-
10.1103/PhysRevE.49.1685
-
C.-K. Peng, S. V. Buldyrev, S. Havlin, M. Simons, H. E. Stanley, and A. L. Goldberger, Phys. Rev. E 49, 1685 (1994). 10.1103/PhysRevE.49.1685
-
(1994)
Phys. Rev. e
, vol.49
, pp. 1685
-
-
Peng, C.-K.1
Buldyrev, S.V.2
Havlin, S.3
Simons, M.4
Stanley, H.E.5
Goldberger, A.L.6
-
53
-
-
0035876536
-
Detecting long-range correlations with detrended fluctuation analysis
-
DOI 10.1016/S0378-4371(01)00144-3, PII S0378437101001443
-
J. W. Kantelhardt, E. Koscielny-Bunde, H. H. A. Rego, S. Havlin, and A. Bunde, Physica A 295, 441 (2001). 10.1016/S0378-4371(01)00144-3 (Pubitemid 32495759)
-
(2001)
Physica A: Statistical Mechanics and its Applications
, vol.295
, Issue.3-4
, pp. 441-454
-
-
Kantelhardt, J.W.1
Koscielny-Bunde, E.2
Rego, H.H.A.3
Havlin, S.4
Bunde, A.5
-
54
-
-
0035395850
-
-
10.1103/PhysRevE.64.011114
-
K. Hu, P. C. Ivanov, Z. Chen, P. Carpena, and H. E. Stanley, Phys. Rev. E 64, 011114 (2001). 10.1103/PhysRevE.64.011114
-
(2001)
Phys. Rev. e
, vol.64
, pp. 011114
-
-
Hu, K.1
Ivanov, P.C.2
Chen, Z.3
Carpena, P.4
Stanley, H.E.5
-
55
-
-
85035271102
-
Effect of nonstationarities on detrended fluctuation analysis
-
DOI 10.1103/PhysRevE.65.041107, 041107
-
Z. Chen, P. C. Ivanov, K. Hu, and H. E. Stanley, Phys. Rev. E 65, 041107 (2002). 10.1103/PhysRevE.65.041107 (Pubitemid 40618803)
-
(2002)
Physical Review E - Statistical, Nonlinear, and Soft Matter Physics
, vol.65
, Issue.4
-
-
Chen, Z.1
Ivanov, P.Ch.2
Hu, K.3
Stanley, H.E.4
-
56
-
-
37649032375
-
Effect of nonlinear filters on detrended fluctuation analysis
-
DOI 10.1103/PhysRevE.71.011104, 011104
-
Z. Chen, K. Hu, P. Carpena, P. Bernaola-Galvan, H. E. Stanley, and P. C. Ivanov, Phys. Rev. E 71, 011104 (2005). 10.1103/PhysRevE.71.011104 (Pubitemid 40619928)
-
(2005)
Physical Review E - Statistical, Nonlinear, and Soft Matter Physics
, vol.71
, Issue.1
-
-
Chen, Z.1
Hu, K.2
Carpena, P.3
Bernaola-Galvan, P.4
Stanley, H.E.5
Ivanov, P.Ch.6
-
57
-
-
77953462406
-
-
http://www.gtadata.com/
-
-
-
|