Causal decomposition on multiple time scales: Evidence from stock price-volume time series

Author:

Xu Chao,Zhao Xiaojun,Wang Yanwen

Funder

Fundamental Research Funds for the Central Universities

Beijing Municipal Commission of Education

Publisher

Elsevier BV

Subject

General Mathematics,General Physics and Astronomy,Statistical and Nonlinear Physics,Applied Mathematics

Reference49 articles.

1. Gaussian process regression stochastic volatility model for financial time series;Han;IEEE JSelTopSignal Process,2016

2. Relativistic time effects in financial dynamics;Machado;Nonlinear Dyn,2014

3. Analysis of the predictive ability of time delay neural networks applied to the S&P 500 time series;Sitte;IEEE TransSystManCybernCApplicRev,2000

4. Multiscale time irreversibility analysis of financial time series based on segmentation;Xu;IEEE JSelTopSignal Process,2018

5. Measuring multiscaling in financial time-series;Buonocore;Chaos, SolitonsFractals,2016

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