Recurrence duration statistics and time-dependent intrinsic correlation analysis of trading volumes: A study of Chinese stock indices-Reference-Cited by-同舟云学术

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Recurrence duration statistics and time-dependent intrinsic correlation analysis of trading volumes: A study of Chinese stock indices

Published:2019-01 Issue: Volume:514 Page:838-854
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:

Niu Hongli,Wang Weiqing,Zhang Junhuan

Funder

China Postdoctoral Science Foundation

Fundamental Research Funds for the Central Universities

National Natural Science Foundation of China

Beihang University

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference51 articles.

1. Common scaling patterns in intertrade times of U. S. stocks;Ivanov;Phys. Rev. E,2004

2. Scaling in the distribution of intertrade durations of Chinese stocks;Jiang;Physica A,2008

3. On the gap between an empirical distribution and an exponential distribution of waiting times for price changes in a financial market;Sazuka;Physica A,2007

4. Persistence probabilities of the German DAX and Shanghai index;Ren;Physica A,2005

5. Gain-loss asymmetry for emerging stock markets;Karpio;Physica A,2007

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3. Time‐dependent intrinsic correlation analysis of crude oil and the US dollar based on CEEMDAN;International Journal of Finance & Economics;2020-07-24

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