Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series
F Serinaldi - Physica A: Statistical Mechanics and its Applications, 2010 - Elsevier
The detection of long range dependence (LRD) is an important task in time series analysis.
LRD is often summarized by the well-known Hurst parameter (or exponent) H∈[0, 1], which …
LRD is often summarized by the well-known Hurst parameter (or exponent) H∈[0, 1], which …
Universal behaviour of interoccurrence times between losses in financial markets: An analytical description
We consider 16 representative financial records (stocks, indices, commodities, and
exchange rates) and study the distribution PQ (r) of the interoccurrence times r between …
exchange rates) and study the distribution PQ (r) of the interoccurrence times r between …
Effects of long memory in the order submission process on the properties of recurrence intervals of large price fluctuations
H Meng, F Ren, GF Gu, X Xiong, YJ Zhang… - Europhysics …, 2012 - iopscience.iop.org
Understanding the statistical properties of recurrence intervals (also termed return intervals
in econophysics literature) of extreme events is crucial to risk assessment and management …
in econophysics literature) of extreme events is crucial to risk assessment and management …
Different scaling behaviors in daily temperature records over China
N Yuan, Z Fu, J Mao - Physica A: Statistical Mechanics and its Applications, 2010 - Elsevier
Long-range correlations of five kinds of daily temperature records (ie daily average
temperature records, daily maximum temperature records, daily minimum temperature …
temperature records, daily maximum temperature records, daily minimum temperature …
Universal behavior of the interoccurrence times between losses in financial markets: Independence of the time resolution
J Ludescher, A Bunde - Physical Review E, 2014 - APS
We consider representative financial records (stocks and indices) on time scales between
one minute and one day, as well as historical monthly data sets, and show that the …
one minute and one day, as well as historical monthly data sets, and show that the …
Stock prices' long memory in China and the United States
Z Tan, Y Fu, H Cheng, J Liu - International Journal of Emerging …, 2022 - emerald.com
Purpose This study aims to examine the long memory as well as the effect of structural
breaks in the US and the Chinese stock markets. More importantly, it further explores …
breaks in the US and the Chinese stock markets. More importantly, it further explores …
Revisiting serial dependence in the stock markets of the G7 countries, Portugal, Spain and Greece
P Ferreira, A Dionísio - Applied Financial Economics, 2014 - Taylor & Francis
This article uses several tests to analyse serial dependence in financial data, trying to
confirm the existence of some kind of nonlinear dependence in stock markets. In an attempt …
confirm the existence of some kind of nonlinear dependence in stock markets. In an attempt …
Does the US extreme indicator matter in stock markets? International evidence
We propose a new predictor—the innovation in the daily return minimum in the US stock
market (Δ MIN US)—for predicting international stock market returns. Using monthly data for …
market (Δ MIN US)—for predicting international stock market returns. Using monthly data for …
How high frequency trading affects a market index
The relationship between a market index and its constituent stocks is complicated. While an
index is a weighted average of its constituent stocks, when the investigated time scale is one …
index is a weighted average of its constituent stocks, when the investigated time scale is one …
Quantifying meta-correlations in financial markets
Financial markets are modular multi-level systems, in which the relationships between the
individual components are not constant in time. Sudden changes in these relationships …
individual components are not constant in time. Sudden changes in these relationships …