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Information theoretic causality detection between financial and sentiment data

Scaramozzino, Roberta; Cerchiello, Paola; Aste, Tomaso - 2021

Persistent link: https://www.econbiz.de/10012887631

Forecasting market states

Procacci, Pier Francesco; Aste, Tomaso - In: Quantitative finance 19 (2019) 9, pp. 1491-1498

Persistent link: https://www.econbiz.de/10012194800

Multifractality and long-range dependence of asset returns : the scaling behaviour of the Markov-switching multifractal model with lognormal volatility components

Liu, Ruipeng (contributor); Di Matteo, Tiziana (contributor) - 2008

In this paper we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their multi-scaling properties by estimating the parameters of a Markov-switching multifractal model (MSM) with Lognormal volatility components. In order to...

Persistent link: https://www.econbiz.de/10003715073

Multifractality and long-range dependence of asset returns : the scaling behaviour of the Markov-switching multifractal model with lognormal volatility components

Liu, Ruipeng (contributor); Di Matteo, Tiziana (contributor) - 2008

Persistent link: https://www.econbiz.de/10003721498

Long-term memories of developed and emerging markets : using the scaling analysis to characterize their stage of development

Di Matteo, Tiziana; Aste, T.; Dacorogna, Michel M. - In: Journal of banking & finance 29 (2005) 4, pp. 827-851

Persistent link: https://www.econbiz.de/10002600039

A look at financial dependencies by means of econophysics and financial economics

Raddant, M.; Di Matteo, Tiziana - In: Journal of economic interaction and coordination 18 (2023) 4, pp. 701-734

Persistent link: https://www.econbiz.de/10014422588