Long range dependence in financial markets

By Rama Cont. 2005

424 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e54eb5330ddfb050afca4908ed4978698912b462

How researchers see this paper

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

In Economics and Econometrics

1. Frédéric Abergel
2. Marco Patriarca
3. Ioane Muni Toke
4. Anirban Chakraborti
5. John Angle

In Finance

1. Marco Patriarca
2. Ioane Muni Toke
3. Frédéric Abergel
4. Anirban Chakraborti

Citations in the corpus

• Econophysics review: II. Agent-based models (2011, background): “…and controversial reaction to the Report of the Special Study of the Securities Markets of the SEC (Cohen 1963a), the aim of which was to ‘‘study the adequacy of rules of the exchange and that the New York stock exchange undertakes to regulate its members in all of their activities’’ (Cohen 1963b).”
• Long Range Dependence (2007, neutral): “Models arising from self-similar processes have also been used in risk theory (see e.g., [97]) and finance (see e.g., [33]).”