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 …
Financial return distributions: Past, present, and COVID-19
We analyze the price return distributions of currency exchange rates, cryptocurrencies, and
contracts for differences (CFDs) representing stock indices, stock shares, and commodities …
contracts for differences (CFDs) representing stock indices, stock shares, and commodities …
Empirical distributions of Chinese stock returns at different microscopic timescales
GF Gu, W Chen, WX Zhou - Physica A: Statistical Mechanics and its …, 2008 - Elsevier
We study the distributions of event-time returns and clock-time returns at different
microscopic timescales using ultra-high-frequency data extracted from the limit-order books …
microscopic timescales using ultra-high-frequency data extracted from the limit-order books …
Quantifying stock return distributions in financial markets
Being able to quantify the probability of large price changes in stock markets is of crucial
importance in understanding financial crises that affect the lives of people worldwide. Large …
importance in understanding financial crises that affect the lives of people worldwide. Large …
Precision measurement of the return distribution property of the Chinese stock market index
P Liu, Y Zheng - Entropy, 2022 - mdpi.com
In econophysics, the analysis of the return distribution of a financial asset using statistical
physics methods is a long-standing and important issue. This paper systematically conducts …
physics methods is a long-standing and important issue. This paper systematically conducts …
Tests of nonuniversality of the stock return distributions in an emerging market
GH Mu, WX Zhou - Physical Review E—Statistical, Nonlinear, and Soft …, 2010 - APS
There is convincing evidence showing that the probability distributions of stock returns in
mature markets exhibit power-law tails and both the positive and negative tails conform to …
mature markets exhibit power-law tails and both the positive and negative tails conform to …
Modeling of the financial market using the two-dimensional anisotropic Ising model
LS Lima - Physica A: Statistical Mechanics and its Applications, 2017 - Elsevier
We have used the two-dimensional classical anisotropic Ising model in an external field and
with an ion single anisotropy term as a mathematical model for the price dynamics of the …
with an ion single anisotropy term as a mathematical model for the price dynamics of the …
Determinants of immediate price impacts at the trade level in an emerging order-driven market
WX Zhou - New Journal of Physics, 2012 - iopscience.iop.org
Common wisdom argues that, in general, large trades cause large price changes, whereas
small trades cause small price changes. However, for extremely large price changes, the …
small trades cause small price changes. However, for extremely large price changes, the …
Nieliniowa dynamika szeregów czasowych w badaniach ekonomicznych
M Nowiński - … Ekonomicznej we Wrocławiu. Seria: Monografie i …, 2007 - bazekon.icm.edu.pl
Zaprezentowano krótkie wprowadzenie do analizy układów dynamicznych i teorii chaosu
deterministycznego. Przedstawiono dokonania nauki w zakresie stosowania narzędzi …
deterministycznego. Przedstawiono dokonania nauki w zakresie stosowania narzędzi …