Role of multifractal sources in the analysis of stock market time series-Reference-Cited by-同舟云学术

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Role of multifractal sources in the analysis of stock market time series

Published:2005-09 Issue:2-4 Volume:355 Page:475-496
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Turiel Antonio,Pérez-Vicente Conrad J.

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference18 articles.

1. Theory of Financial Risk;Bouchaud,2000

2. An Introduction to Econophysics;Mantegna,1999

3. Scaling behavior of an economic index;Mantegna;Nature,1995

4. Scaling in currency exchange;Galluccio;Physica A,1997

5. B.B. Mandelbrot, A. Fisher, L. Calvet, A multifractal model of asset returns, Cowles Foundation Discussion Paper No. 1164, 1997.

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