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Fractal measures in market microstructure research
Yalamova, Rossitsa - In: Multinational finance journal : MF ; quarterly … 16 (2012) 1/2, pp. 137-154
Persistent link: https://www.econbiz.de/10010257551
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Source of the multifractality in exchange markets : multifractal detrended fluctuations analysis
Günay, Samet - In: Journal of business & economics research 12 (2014) 4, pp. 371-384
Persistent link: https://www.econbiz.de/10010432137
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Multifractality in finance : a deep understanding and review of Mandelbrot's MMAR
Maglione, Federico - 2015
Persistent link: https://www.econbiz.de/10011632222
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Scaling by the square-root-of-time rule : an empirical investigation using five market indexes
Cameron, James; Gulati, Chandra M.; Lin, Yan-xia - In: Journal of risk 19 (2016) 2, pp. 61-80
Persistent link: https://www.econbiz.de/10013177083
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Universalities in the dynamics of cryptocurrencies : stability, scaling and size
Pogudin, Andrey; Chakrabati, Anindya S.; Di Matteo, Tiziana - In: The journal of network theory in finance 5 (2019) 4, pp. 63-95
Persistent link: https://www.econbiz.de/10012489291
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A wavelet analysis of scaling laws and long-memory in stock market volatility
Vuorenmaa, Tommi A. - 2005
multiscaling in Finnish stock markets.Furthermore, the scaling factor and the long-memory parameters of the volatility series are …This paper investigates the dependence of average stock market volatility on the timescale or on the time interval used … to measure price changes, which dependence is often referred to as the scaling law.Scaling factor, on the other hand …
Persistent link: https://www.econbiz.de/10012147956
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Intraday volatility and scaling in high frequency foreign exchange markets
Seemann, Lars; McCauley, Joseph L.; Gunaratne, Gemunu H. - In: International review of financial analysis 20 (2011) 3, pp. 121-126
Persistent link: https://www.econbiz.de/10009295805
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Time-space scaling of financial time series
Kumagai, Yoshiaki - In: Empirical science of financial fluctuations : the …, (pp. [250]-259). 2002
Persistent link: https://www.econbiz.de/10001679496
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The effect of price volatility on judgmental forecasts : the correlated response model
Sobolev, Daphne - In: International journal of forecasting 33 (2017) 3, pp. 605-617
Persistent link: https://www.econbiz.de/10011746193
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Scaling Relationships of Gaussian Processes
Batten, Jonathan; Ellis, Craig - Deakin University, Faculty of Business and Law, School … - 2001
Asset returns conforming to a Gaussian random walk are characterised by the temporal independence of the moments of the distribution. Employing currency returns, this note demonstrates the conditions that are necessary for risk to be estimated in this manner.
Persistent link: https://www.econbiz.de/10004982334