Multiscale characteristics of the emerging global cryptocurrency market
Modern financial markets are characterized by a rapid flow of information, a vast number of
participants having diversified investment horizons, and multiple feedback mechanisms …
participants having diversified investment horizons, and multiple feedback mechanisms …
Multifractal analysis of financial markets: A review
Multifractality is ubiquitously observed in complex natural and socioeconomic systems.
Multifractal analysis provides powerful tools to understand the complex nonlinear nature of …
Multifractal analysis provides powerful tools to understand the complex nonlinear nature of …
Complexity in economic and social systems: Cryptocurrency market at around COVID-19
Social systems are characterized by an enormous network of connections and factors that
can influence the structure and dynamics of these systems. Among them the whole …
can influence the structure and dynamics of these systems. Among them the whole …
Bitcoin market route to maturity? Evidence from return fluctuations, temporal correlations and multiscaling effects
Based on 1-min price changes recorded since year 2012, the fluctuation properties of the
rapidly emerging Bitcoin market are assessed over chosen sub-periods, in terms of return …
rapidly emerging Bitcoin market are assessed over chosen sub-periods, in terms of return …
Spillover effects and nonlinear correlations between carbon emissions and stock markets: An empirical analysis of China's carbon-intensive industries
L Xu, C Wu, Q Qin, X Lin - Energy Economics, 2022 - Elsevier
This study analyzes the correlations between carbon emissions and related industry stock
markets in China. We propose a carbon-intensive industry index firstly. According to the …
markets in China. We propose a carbon-intensive industry index firstly. According to the …
Signatures of the crypto-currency market decoupling from the Forex
Based on the high-frequency recordings from Kraken, a cryptocurrency exchange and
professional trading platform that aims to bring Bitcoin and other cryptocurrencies into the …
professional trading platform that aims to bring Bitcoin and other cryptocurrencies into the …
Multifractal cross-correlations between the world oil and other financial markets in 2012–2017
Statistical and multiscaling characteristics of WTI Crude Oil futures prices expressed in US
dollar in relation to the most traded currencies as well as to gold futures and to the E-mini …
dollar in relation to the most traded currencies as well as to gold futures and to the E-mini …
Transfer entropy between multivariate time series
X Mao, P Shang - Communications in Nonlinear Science and Numerical …, 2017 - Elsevier
It is a crucial topic to identify the direction and strength of the interdependence between time
series in multivariate systems. In this paper, we propose the method of transfer entropy …
series in multivariate systems. In this paper, we propose the method of transfer entropy …
Dynamic cross-correlation and dynamic contagion of stock markets: A sliding windows approach with the DCCA correlation coefficient
O Tilfani, P Ferreira, MY El Boukfaoui - Empirical Economics, 2021 - Springer
How stock markets relate to each other is very important because this could have positive
effects (such as enhancing economic growth) but also negative effects (possible contagion …
effects (such as enhancing economic growth) but also negative effects (possible contagion …
Multifractal cross wavelet analysis
Complex systems are composed of mutually interacting components and the output values
of these components usually exhibit long-range cross-correlations. Using wavelet analysis …
of these components usually exhibit long-range cross-correlations. Using wavelet analysis …