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Identification of short-term and long-term time scales in stock markets and effect of structural break

  • Published:2020-05 Issue: Volume:545 Page:123612
  • 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:

Mahata Ajit,Bal Debi Prasad,Nurujjaman Md

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference58 articles.

1. Theorie de la speculation;Bachelier,1900

2. Introduction to econophysics: correlations and complexity in finance;Mantegna,1999

3. Theory of financial risk and derivative pricing: from statistical physics to risk management;Bouchaud,2003

4. Why stock markets crash: critical events in complex financial systems, Vol. 49;Sornette,2017

5. Applications of hilbert–huang transform to non-stationary financial time series analysis;Huang;Appl. Stoch. Models Bus. Ind.,2003

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