Multi-scaling in finance
From MaRDI portal
Recommendations
Cites work
- A critical look at Lo's modified \(R/S\) statistic.
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- CAN STATISTICAL PHYSICS CONTRIBUTE TO THE SCIENCE OF ECONOMICS?
- Estimating long-range dependence: Finite sample properties and confidence intervals
- ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
- Forecasting multifractal volatility
- FRACTAL GEOMETRY OF FINANCIAL TIME SERIES
- Fractional Brownian Motions, Fractional Noises and Applications
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- HOW DOES THE EURODOLLAR INTEREST RATE BEHAVE?
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- Long-range correlations and nonstationarity in the Brazilian stock market
- Long-Term Memory in Stock Market Prices
- MANDELBROT’S ECONOMICS AFTER A QUARTER CENTURY
- Multifractal detrended fluctuation analysis of nonstationary time series
- ON THE STATISTICAL PHYSICS CONTRIBUTION TO QUANTITATIVE FINANCE
- Scaling behaviors in differently developed markets
- Scaling properties of foreign exchange volatility
- Statistical physics in foreign exchange currency and stock markets
- Stochastic Models That Separate Fractal Dimension and the Hurst Effect
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- The jackknife and the bootstrap for general stationary observations
- THE MULTIFRACTAL FORMALISM REVISITED WITH WAVELETS
Cited in
(51)- Multiscale behaviour of volatility autocorrelations in a financial market
- Anomalous volatility scaling in high frequency financial data
- Empirical scaling laws and the aggregation of non-stationary data
- Mixed-correlated ARFIMA processes for power-law cross-correlations
- Gradual multifractal reconstruction of time-series: formulation of the method and an application to the coupling between stock market indices and their Hölder exponents
- Variable diffusion in stock market fluctuations
- Scaling, self-similarity and multifractality in FX markets
- Scaling behaviors in differently developed markets
- Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
- A relative vectorial multifractal formalism
- Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality
- Power-law cross-correlations estimation under heavy tails
- Analysis of cyclical behavior in time series of stock market returns
- From tick data to semimartingales
- Did long-memory of liquidity signal the European sovereign debt crisis?
- Heterogeneity in economic relationships: scale dependence through the multivariate fractal regression
- Financial markets and the phase transition between water and steam
- Multifractal cross-correlation analysis based on statistical moments
- A wavelet method coupled with quasi-self-similar stochastic processes for time series approximation
- Hierarchical structure of stock price fluctuations in financial markets
- MULTIFRACTALITY AND LONG-RANGE DEPENDENCE OF ASSET RETURNS: THE SCALING BEHAVIOR OF THE MARKOV-SWITCHING MULTIFRACTAL MODEL WITH LOGNORMAL VOLATILITY COMPONENTS
- MULTIFRACTAL CHARACTERIZATION OF SPATIAL INCOME CURDLING: THEORY AND APPLICATIONS
- scientific article; zbMATH DE number 1552554 (Why is no real title available?)
- Statistical tests of distributional scaling properties for financial return series
- A behavioural model of investor sentiment in limit order markets
- Forecasting market risk using ultra-high-frequency data and scaling laws
- scientific article; zbMATH DE number 2095956 (Why is no real title available?)
- An accurate algorithm to calculate the Hurst exponent of self-similar processes
- Scaling and multiscaling in financial series: a simple model
- Multi-scaling of moments in stochastic volatility models
- Apparent multifractality of self-similar Lévy processes
- Agent-based modelling in directional-change intrinsic time
- Dynamic quantile function models
- 1/f noise and anomalous scaling in Lévy noise-driven on–off intermittency
- Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
- Measuring multiscaling in financial time-series
- Forecasting with fractional Brownian motion: a financial perspective
- Multi-scale description and prediction of financial time series
- On the interplay between multiscaling and stock dependence
- Multiscale analysis of economic time series by scale-dependent Lyapunov exponent
- Scaling transformation and probability distributions for financial time series
- How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost
- Testing power-law cross-correlations: rescaled covariance test
- Quantifying multifractal anisotropy in two dimensional objects
- The asymptotic smile of a multiscaling stochastic volatility model
- Critical dynamics of random surfaces: time evolution of area and genus
- Multifractal regime detecting method for financial time series
- Hurst exponent for weak self-similar processes
- Social Physics: A manifesto
- Volatility return intervals analysis of the Japanese market
- Multi-scale correlations in different futures markets
This page was built for publication: Multi-scaling in finance
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3439863)
