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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

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

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

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

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

Financial earthquakes, aftershocks and scaling in emerging stock markets

Selçuk, Faruk - In: Physica A: Statistical Mechanics and its Applications 333 (2004) C, pp. 306-316

This paper provides evidence for scaling laws in emerging stock markets. Estimated parameters using different … definitions of volatility show that the empirical scaling law in every stock market is a power law. This power law holds from 2 to … 240 business days (almost 1 year). The scaling parameter in these economies changes after a change in the definition of …

Persistent link: https://www.econbiz.de/10010872069

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

Magnitude and sign scaling in power-law correlated time series

Ashkenazy, Yosef; Havlin, Shlomo; Ivanov, Plamen Ch.; … - In: Physica A: Statistical Mechanics and its Applications 323 (2003) C, pp. 19-41

the scaling properties of the magnitude series and the sign series using the increment time series of cardiac interbeat …

Persistent link: https://www.econbiz.de/10010589779