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Volumn 13, Issue , 2011, Pages

Individual and collective stock dynamics: Intra-day seasonalities

Author keywords

[No Author keywords available]

Indexed keywords

DECREASING FUNCTIONS; MARKET FACTORS; RELATIVE DISPERSION; SPECIFIC EFFECTS; STYLIZED FACTS; SUB-DOMINANT; U-SHAPED;

EID: 79952253539     PISSN: 13672630     EISSN: None     Source Type: Journal    
DOI: 10.1088/1367-2630/13/2/025010     Document Type: Article
Times cited : (35)

References (19)
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    • A theory of intraday patterns: Volume and price variability
    • Admati A and Pfleiderer P 1988 A theory of intraday patterns: volume and price variability Rev. Financ. Stud. 1 3-40
    • (1988) Rev. Financ. Stud , vol.1 , pp. 3-40
    • Admati, A.1    Pfleiderer, P.2
  • 2
    • 0031161196 scopus 로고    scopus 로고
    • Intraday periodicity and volatility persistence in financial markets
    • Andersen T and Bollerslev T 1997 Intraday periodicity and volatility persistence in financial markets J. Empir. Financ. 4 115-8
    • (1997) J. Empir. Financ , vol.4 , pp. 115-118
    • Andersen, T.1    Bollerslev, T.2
  • 8
    • 79952268881 scopus 로고    scopus 로고
    • Chicheportiche R and Bouchaud J-P 2011 in preparation
    • Chicheportiche R and Bouchaud J-P 2011 in preparation
  • 10
    • 79952258316 scopus 로고    scopus 로고
    • Using smarter algorithms versus smarter use of algorithms
    • Emerich S 2010 Using smarter algorithms versus smarter use of algorithms Inst. Investor J. 2010(1) 40-51
    • (2010) Inst. Investor J , vol.2010 , Issue.1 , pp. 40-51
    • Emerich, S.1
  • 12
    • 18844481909 scopus 로고    scopus 로고
    • Power law relaxation in a complex system: Omori law after a financial market crash
    • Lillo F and Mantegna R 2006 Power law relaxation in a complex system: Omori law after a financial market crash Phys. Rev. E 68 016119
    • (2006) Phys. Rev. E , vol.68 , pp. 016-119
    • Lillo, F.1    Mantegna, R.2
  • 13
    • 0000659771 scopus 로고    scopus 로고
    • Symmetry alteration of ensemble return distribution in crash and rally days of financial markets
    • Lillo F and Mantegna R N 2000 Symmetry alteration of ensemble return distribution in crash and rally days of financial markets Eur. Phys. J. B 15 603-6
    • (2000) Eur. Phys. J. B , vol.15 , pp. 603-606
    • Lillo, F.1    Mantegna, R.N.2
  • 18
    • 42749105978 scopus 로고    scopus 로고
    • Random matrix theory analysis of cross correlations in financial markets
    • Utsugi A, Ino K and Oshikawa M 2004 Random matrix theory analysis of cross correlations in financial markets Phys. Rev. E 70 026110
    • (2004) Phys. Rev. E , vol.70 , pp. 026-110
    • Utsugi, A.1    Ino, K.2    Oshikawa, M.3
  • 19
    • 33747596932 scopus 로고    scopus 로고
    • Short-term market reaction after extreme price changes of liquid stocks
    • DOI 10.1080/14697680600699894, PII X743T88132571642
    • Zawadowski A, Kertesz J and Andor G 2006 Short-term market reaction after extreme price changes of liquid stocks Quant. Financ. 6 283-95 (Pubitemid 44266897)
    • (2006) Quantitative Finance , vol.6 , Issue.4 , pp. 283-295
    • Zawadowski, A.G.1    Andor, G.2    Kertesz, J.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.