Statistical physics in foreign exchange currency and stock markets

164 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Multi-scaling in finance (2007, background): “…and Ausloos 1997, Viswanathan et al. 1997, Ausloos et al. 1999, Janosi et al. 1999, Liu et al. 1999, Raberto et al. 1999, Stanley et al. 1999, Ausloos 2000, Hu et al. 2001, Chen et al. 2002, Ivanova and Ausloos 2002, Costa and Vasconcelos 2003) and its generalization (Kantelhardt et al.…”
Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates (2017, background): “But existing papers on the subject focus on the estimate of a piecewise fBm for different market phases without smoothing [2, 31], on describing the long-memory feature of FX time series [15, 46], on estimating a mBm with random Hurst exponents [11] or on the multifractal spectrum [16, 38].”
Multifractal Hurst analysis of crude oil prices (2002, background): “In fact, the persistence is related to free-market conditions while the antipersistence develops due to strict political control allowing for a 7nite-time-scale period where the market can Guctuate [7].”
Multifractal detrended cross-correlations between the Chinese exchange market and stock market (2012, background): “A large number of studies have conducted empirical analyses of the long-range auto-correlations in several financial markets, especially the stock markets [1–5] and foreign exchange markets [6–12].”