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Different methodologies and uses of the Hurst exponent in econophysics
Nieves López García, María de las; Ramos-Requena, J. P. - In: Estudios de economía aplicada : revista promovida por … 37 (2019) 2, pp. 107-119
Persistent link: https://www.econbiz.de/10012063553
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Evidence of intraday multifractality in European stock markets during the recent coronavirus (covid-19) outbreak
Aslam, Faheem; Mohti, Wahbeeah; Ferreira, Paulo - In: International Journal of Financial Studies : open … 8 (2020) 2/31, pp. 1-13
This study assesses how the coronavirus pandemic (COVID-19) affects the intraday multifractal properties of eight European stock markets by using five-minute index data ranging from 1 January 2020 to 23 March 2020. The Hurst exponents are calculated by applying multifractal detrended fluctuation...
Persistent link: https://www.econbiz.de/10012239424
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Multifractal analysis of volatility for detection of herding and bubble : evidence from CNX Nifty HFT
Ghosh, Bikramaditya; Kozarević, Emira - In: Investment management and financial innovations 16 (2019) 3, pp. 182-193
Persistent link: https://www.econbiz.de/10012159372
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Heterogeneous speculators and stock market dynamics : a simple agent-based computational model
Schmitt, Noemi; Schwartz, Ivonne; Westerhoff, Frank H. - 2020
crashes, excess volatility, serially uncorrelated returns, fat-tailed return distributions and volatility clustering, thereby … regimes with high volatility originate from the fact that speculators extract stronger trading signals out of past stock price …
Persistent link: https://www.econbiz.de/10012257370
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Predictability and herding of bourse volatility : an econophysics analogue
Ghosh, Bikramaditya; Krishna, Mysore Chidambareswaran; … - In: Investment management and financial innovations 15 (2018) 2, pp. 317-326
Persistent link: https://www.econbiz.de/10012055468
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Heterogeneous speculators and stock market dynamics : a simple agent-based computational model
Schmitt, Noemi; Schwartz, Ivonne; Westerhoff, Frank H. - In: The European journal of finance 28 (2022) 13/15, pp. 1263-1282
Persistent link: https://www.econbiz.de/10013532181
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Study of statistical correlations in intraday and daily financial return time series
Tilak, Gayatri; Széll, Tamás; Chicheportiche, Rémy; … - In: Econophysics of systemic risk and network dynamics : …, (pp. 77-104). 2013
Persistent link: https://www.econbiz.de/10010211864
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Investigating efficiency of frontier stock markets using multifractal detrended fluctuation analysis
Aslam, Faheem; Ferreira, Paulo; Mohti, Wahbeeah - In: International journal of emerging markets 18 (2023) 7, pp. 1650-1676
Persistent link: https://www.econbiz.de/10014333916
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Power law in tails of bourse volatility : evidence from India
Ghosh, Bikramaditya; Krishna, M. C. - In: Investment management and financial innovations 16 (2019) 1, pp. 291-298
Persistent link: https://www.econbiz.de/10012056170
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Theoretical and experimental evidence on stock market volatilities : a two-phase flow model
Wang, Limin; Xu, Yingying; Salem, Sultan - In: Economic research 34 (2021) 1,3, pp. 3245-3269
Persistent link: https://www.econbiz.de/10014233517