Cross-correlations between volume change and price change

From MaRDI portal
Publication:3069234

DOI10.1073/pnas.0911983106zbMath1203.91208arXiv1011.2674OpenAlexW2145500502WikidataQ33563938 ScholiaQ33563938MaRDI QIDQ3069234

Davor Horvatić, Alexander Petersen, Boris Podobnik, H. Eugene Stanley

Publication date: 24 January 2011

Published in: Proceedings of the National Academy of Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.2674




Related Items (65)

Permutation transition entropy: measuring the dynamical complexity of financial time seriesCan the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?Multifractal detrended cross-correlation analysis of coding and non-coding DNA sequences through chaos-game representationUniversal and non-universal properties of recurrence intervals of rare eventsNon linear approach to study the dynamics of neurodegenerative diseases by multifractal detrended cross-correlation analysis--A quantitative assessment on gait diseaseHow long the singular value decomposed entropy predicts the stock market? -- Evidence from the Dow Jones industrial average indexMultifractal detrended cross-correlation analysis of genome sequences using chaos-game representationPricing equity warrants with a promised lowest price in Merton's jump-diffusion modelStochastic model of financial markets reproducing scaling and memory in volatility return intervalsTransfer entropy coefficient: quantifying level of information flow between financial time seriesQuantile transfer entropy: measuring the heterogeneous information transfer of nonlinear time seriesFluctuation behavior analysis of stochastic exclusion financial dynamics with random jumpPricing equity warrants in Merton jump-diffusion model with credit riskNonlinear stochastic exclusion financial dynamics modeling and time-dependent intrinsic detrended cross-correlationThe cross-correlation analysis of multi property of stock markets based on MM-DFAMultiscale multifractal DCCA and complexity behaviors of return intervals for Potts price modelMultifractal detrended cross correlation analysis of neuro-degenerative diseases -- an in depth studyModeling and complexity of stochastic interacting Lévy type financial price dynamicsChaos based nonlinear analysis to study cardiovascular responses to changes in postureEarly warning of large volatilities based on recurrence interval analysis in Chinese stock marketsShort term prediction of extreme returns based on the recurrence interval analysisPrincipal component analysis for non-stationary time series based on detrended cross-correlation analysisDo both demand-following and supply-leading theories hold true in developing countries?Volatility aggregation intensity energy futures series on stochastic finite-range exclusion dynamicsModified multifractal large deviation spectrum based on CID for financial market systemThe Lempel-Ziv measure based pedigree map to detect and evaluate correlation between aero-engine gas path system variablesA new methodology for local cross-correlation between two nonstationary time seriesCross-correlations between the CSI300 index and commodity markets: non-stationary principal component analysis (NSPCA)Multiscale horizontal visibility entropy: measuring the temporal complexity of financial time seriesPricing currency options in the mixed fractional Brownian motionAre your data really Pareto distributed?Mixed-correlated ARFIMA processes for power-law cross-correlationsTwo-dimensional multifractal cross-correlation analysisHeterogeneity in economic relationships: scale dependence through the multivariate fractal regressionAsymmetric multiscale detrended cross-correlation analysis of financial time seriesHeterogeneous information-based artificial stock marketTesting power-law cross-correlations: rescaled covariance testHigher-order multifractal detrended partial cross-correlation analysis for the correlation estimatorScaling invariance embedded in very short time series: a factorial moment based diffusion entropy approachLinking agent-based models and stochastic models of financial marketsWeighted multifractal cross-correlation analysis based on Shannon entropyPower-law cross-correlations estimation under heavy tailsCoupling correlation detrended analysis for multiple nonstationary seriesPricing currency option in a mixed fractional Brownian motion with jumps environmentFractionally integrated GARCH model with tempered stable distribution: a simulation studyComplex dynamics of our economic life on different scales: insights from search engine query dataModeling of long-range memory processes with inverse cubic distributions by the nonlinear stochastic differential equationsNonlinear Correlation Analysis of Time Series Based on Complex Network SimilarityPricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motionDetrended fluctuation analysis of multivariate time seriesStatistical properties of the detrended multiple cross-correlation coefficientThe valuation of equity warrants under the fractional Vasicek process of the short-term interest rateForecasting VaR and ES of stock index portfolio: a vine copula methodNonlinear joint dynamics between prices of crude oil and refined productsDiscrete scale-invariance in cross-correlations between time seriesAbnormal statistical properties of stock indexes during a financial crashNonlinear Analysis on Cross-Correlation of Financial Time Series by Continuum Percolation SystemPricing compound and extendible options under mixed fractional Brownian motion with jumpsModified multidimensional scaling approach to analyze financial marketsMULTIFRACTAL DETRENDED CROSS-CORRELATION ANALYSIS OF CHINESE STOCK MARKETS BASED ON TIME DELAYDynamics of the price–volume information flow based on surrogate time seriesMulti-scale transition matrix approach to time seriesA DYNAMICAL APPROACH TO STOCK MARKET FLUCTUATIONSHigh-frequency trading model for a complex trading hierarchyMeasuring the asymmetric contributions of individual subsystems



Cites Work


This page was built for publication: Cross-correlations between volume change and price change