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Non-Poisson intermittent events in price formation in a Ising spin model of market
Greco, Antonella; Carbone, Vincenzo; Sorriso-Valvo, Luca - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 480-486
volatility signal, typical of the real market data. …
Persistent link: https://www.econbiz.de/10011064138
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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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Econophysical bourse volatility : global evidence
Ghosh, Bikramaditya; Krishna Mysore Chidambareswaran - In: Journal of central banking theory and practice 9 (2020) 2, pp. 87-107
Financial Reynolds number (Re) has been proven to have the capacity to predict volatility, herd behaviour and nascent … embedded volatility, herd behaviour and nascent bubble. Overall the volatility distribution has been found to be Gaussian in … nature, as far as volatility, herd behaviour and nascent bubble are concerned. …
Persistent link: https://www.econbiz.de/10012305755
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Volatility-constrained correlation identifies the directionality of the influence between Japan’s Nikkei 225 and other financial markets
Ochiai, Tomoshiro; Nacher, Jose C. - In: Physica A: Statistical Mechanics and its Applications 393 (2014) C, pp. 364-375
average index (Nikkei 225) and other financial markets by introducing a volatility-constrained correlation metric. The …
Persistent link: https://www.econbiz.de/10010709968
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Volatility cluster and herding
Wagner, Friedrich - In: Physica A: Statistical Mechanics and its Applications 322 (2003) C, pp. 607-619
Stock markets can be characterized by fat tails in the volatility distribution, clustering of volatilities and slow … description of the data. As a new type of data we describe the volatility cluster by the waiting time distribution, which can be …
Persistent link: https://www.econbiz.de/10010588640