Multibranch multifractality and the phase transitions in time series of mean interevent times
Empirical time series of interevent or waiting times are investigated using a modified
Multifractal Detrended Fluctuation Analysis operating on fluctuations of mean detrended …
Multifractal Detrended Fluctuation Analysis operating on fluctuations of mean detrended …
Decomposing cryptocurrency high-frequency price dynamics into recurring and noisy components
This paper investigates the temporal patterns of activity in the cryptocurrency market with a
focus on Bitcoin, Ethereum, Dogecoin, and WINkLink from January 2020 to December 2022 …
focus on Bitcoin, Ethereum, Dogecoin, and WINkLink from January 2020 to December 2022 …
Modeling non-stationarities in high-frequency financial time series
We study tick-by-tick financial returns for the FTSE MIB index of the Italian Stock Exchange
(Borsa Italiana). We confirm previously detected non-stationarities. Scaling properties …
(Borsa Italiana). We confirm previously detected non-stationarities. Scaling properties …
Decomposing cryptocurrency dynamics into recurring and noisy components
This paper investigates the temporal patterns of activity in the cryptocurrency market with a
focus on bitcoin, ether, dogecoin, and winklink from January 2020 to December 2022 …
focus on bitcoin, ether, dogecoin, and winklink from January 2020 to December 2022 …
Directed continuous-time random walk with memory
In this paper, we are addressing the old problem of long-term nonlinear autocorrelation
function versus short-term linear autocorrelation function. As continuous-time random walk …
function versus short-term linear autocorrelation function. As continuous-time random walk …
Fluctuation behaviors of financial return volatility duration
H Niu, J Wang, Y Lu - Physica A: Statistical Mechanics and its Applications, 2016 - Elsevier
It is of significantly crucial to understand the return volatility of financial markets because it
helps to quantify the investment risk, optimize the portfolio, and provide a key input of option …
helps to quantify the investment risk, optimize the portfolio, and provide a key input of option …
Continuous time random walk with correlated waiting times. the crucial role of inter-trade times in volatility clustering
In many physical, social, and economic phenomena, we observe changes in a studied
quantity only in discrete, irregularly distributed points in time. The stochastic process usually …
quantity only in discrete, irregularly distributed points in time. The stochastic process usually …
Intraday trading patterns on the Warsaw Stock Exchange
P Miłobędzki, S Nowak - Contemporary Trends and Challenges in Finance …, 2018 - Springer
We estimate linear regressions with dummy variables for the rates of return, spreads and
volumes of stocks included in the main Warsaw Stock Exchange index WIG 20 to reveal the …
volumes of stocks included in the main Warsaw Stock Exchange index WIG 20 to reveal the …
[PDF][PDF] The new face of multifractality: Multi-branchness and the phase transitions in time series of inter-event times
The concept of extended scale invariance referred to as multifractality, has become a
routinely applied but still intensively developed methodology for studying both complex …
routinely applied but still intensively developed methodology for studying both complex …
The new face of multifractality: Multi-branchedness and the phase transitions in time series of mean inter-event times
Empirical time series of inter-event or waiting times are investigated using a modified
Multifractal Detrended Fluctuation Analysis operating on fluctuations of mean detrended …
Multifractal Detrended Fluctuation Analysis operating on fluctuations of mean detrended …