Instability of networks: effects of sampling frequency and extreme fluctuations in financial data-Reference-Cited by-同舟云学术

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Instability of networks: effects of sampling frequency and extreme fluctuations in financial data

Published:2022-04 Issue:4 Volume:95 Page:
ISSN:1434-6028
Container-title:The European Physical Journal B
language:en
Short-container-title:Eur. Phys. J. B

Author:

Bhachech Jalshayin,Chakrabarti Arnab,Kaizoji Taisei,Chakrabarti Anindya S.

Funder

Japan Society for the Promotion of Science

Indian Institute of Management Ahmedabad

Publisher

Springer Science and Business Media LLC

Subject

Condensed Matter Physics,Electronic, Optical and Magnetic Materials

Link

https://link.springer.com/content/pdf/10.1140/epjb/s10051-022-00332-x.pdf

Reference43 articles.

1. A.R. Admati, P. Pfleiderer, A theory of intraday patterns: Volume and price variability. The Review of Financial Studies 1(1), 3–40 (1988)

2. Y. Aït-Sahalia, J. Fan, D. Xiu, High-frequency covariance estimates with noisy and asynchronous financial data. J. Am. Stat. Assoc. 105(492), 1504–1517 (2010)

3. T.G. Andersen, T. Bollerslev, Intraday periodicity and volatility persistence in financial markets. J. Empir. Financ. 4(2–3), 115–158 (1997)

4. T. Aste, W. Shaw, T. Di Matteo, Correlation structure and dynamics in volatile markets. New J. Phys. 12(8), 085009 (2010)

5. M. Bardoscia, P. Barucca, S. Battiston, F. Caccioli, G. Cimini, D. Garlaschelli, F. Saracco, T. Squartini, G. Caldarelli, The physics of financial networks. Nature Reviews Physics, pages 1–18 (2021)

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