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Ryszard Kutner

Personal Details

First Name:Ryszard
Middle Name:
Last Name:Kutner
Suffix:
RePEc Short-ID:pku232

Affiliation

Wydział Fizyki, Uniwersytet Warszawski (Faculty of Physics, University of Warsaw)

http://www.fuw.edu.pl
Poland, Warsaw

Research output

as
Jump to: Working papers Articles

Working papers

  1. J. Perello & J. Masoliver & A. Kasprzak & R. Kutner, 2008. "A model for interevent times with long tails and multifractality in human communications: An application to financial trading," Papers 0805.1353, arXiv.org, revised Jul 2008.
  2. Marzena Kozlowska & Ryszard Kutner, 2006. "Dynamics of the Warsaw Stock Exchange index as analysed by the nonhomogeneous fractional relaxation equation," Papers physics/0609006, arXiv.org.

Articles

  1. Maciej Jagielski & Ryszard Kutner, 2011. "Wealth Modeling of Polish Households Using Statistical Methods," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 25.
  2. A. Kasprzak & R. Kutner & J. Perelló & J. Masoliver, 2010. "Higher-order phase transitions on financial markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 76(4), pages 513-527, August.
  3. R. Kutner & F. Switała, 2003. "Stochastic simulations of time series within Weierstrass-Mandelbrot walks," Quantitative Finance, Taylor & Francis Journals, vol. 3(3), pages 201-211.
  4. R. Kutner & F. Świtała, 2003. "Study of the non-linear autocorrelations within the Gaussian regime," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 33(4), pages 495-503, June.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. J. Perello & J. Masoliver & A. Kasprzak & R. Kutner, 2008. "A model for interevent times with long tails and multifractality in human communications: An application to financial trading," Papers 0805.1353, arXiv.org, revised Jul 2008.

    Cited by:

    1. Stanis{l}aw Dro.zd.z & Rafa{l} Kowalski & Pawe{l} O'swic{e}cimka & Rafa{l} Rak & Robert Gc{e}barowski, 2018. "Dynamical variety of shapes in financial multifractality," Papers 1809.06728, arXiv.org.
    2. Bełej Mirosław & Kulesza Sławomir, 2014. "The Influence Of Financing On The Dynamics Of Housing Prices," Folia Oeconomica Stetinensia, Sciendo, vol. 14(2), pages 101-113, December.
    3. Lubashevsky, Ihor & Friedrich, Rudolf & Heuer, Andreas & Ushakov, Andrey, 2009. "Generalized superstatistics of nonequilibrium Markovian systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(21), pages 4535-4550.
    4. Plamen Ch Ivanov & Ainslie Yuen & Pandelis Perakakis, 2014. "Impact of Stock Market Structure on Intertrade Time and Price Dynamics," PLOS ONE, Public Library of Science, vol. 9(4), pages 1-14, April.
    5. Ponta, Linda & Trinh, Mailan & Raberto, Marco & Scalas, Enrico & Cincotti, Silvano, 2019. "Modeling non-stationarities in high-frequency financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 173-196.
    6. Stanisław Drożdż & Rafał Kowalski & Paweł Oświȩcimka & Rafał Rak & Robert Gȩbarowski, 2018. "Dynamical Variety of Shapes in Financial Multifractality," Complexity, Hindawi, vol. 2018, pages 1-13, September.
    7. Jaros{l}aw Klamut & Tomasz Gubiec, 2018. "Directed Continuous-Time Random Walk with memory," Papers 1807.01934, arXiv.org.

Articles

  1. A. Kasprzak & R. Kutner & J. Perelló & J. Masoliver, 2010. "Higher-order phase transitions on financial markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 76(4), pages 513-527, August.

    Cited by:

    1. Bełej Mirosław & Kulesza Sławomir, 2014. "The Influence Of Financing On The Dynamics Of Housing Prices," Folia Oeconomica Stetinensia, Sciendo, vol. 14(2), pages 101-113, December.
    2. Rodriguez-Romo, Suemi & Sosa-Herrera, Antonio, 2013. "Lacunarity and multifractal analysis of the large DLA mass distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(16), pages 3316-3328.
    3. Ponta, Linda & Trinh, Mailan & Raberto, Marco & Scalas, Enrico & Cincotti, Silvano, 2019. "Modeling non-stationarities in high-frequency financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 173-196.
    4. Aleksejus Kononovicius & Vygintas Gontis, 2019. "Approximation of the first passage time distribution for the birth-death processes," Papers 1902.00924, arXiv.org.
    5. Jaros{l}aw Klamut & Tomasz Gubiec, 2018. "Directed Continuous-Time Random Walk with memory," Papers 1807.01934, arXiv.org.

  2. R. Kutner & F. Switała, 2003. "Stochastic simulations of time series within Weierstrass-Mandelbrot walks," Quantitative Finance, Taylor & Francis Journals, vol. 3(3), pages 201-211.

    Cited by:

    1. Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2004. "Anomalous waiting times in high-frequency financial data," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 695-702.
    2. Scalas, Enrico & Kaizoji, Taisei & Kirchler, Michael & Huber, Jürgen & Tedeschi, Alessandra, 2006. "Waiting times between orders and trades in double-auction markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 463-471.
    3. Masoliver, Jaume & Montero, Miquel & Perello, Josep & Weiss, George H., 2006. "The continuous time random walk formalism in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 61(4), pages 577-598, December.
    4. Javier Villarroel & Miquel Montero, 2008. "On properties of Continuous-Time Random Walks with Non-Poissonian jump-times," Papers 0812.2148, arXiv.org.
    5. Scalas, Enrico, 2006. "The application of continuous-time random walks in finance and economics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 362(2), pages 225-239.
    6. Villarroel, Javier & Montero, Miquel, 2009. "On properties of continuous-time random walks with non-Poissonian jump-times," Chaos, Solitons & Fractals, Elsevier, vol. 42(1), pages 128-137.
    7. Jaros{l}aw Klamut & Tomasz Gubiec, 2018. "Directed Continuous-Time Random Walk with memory," Papers 1807.01934, arXiv.org.

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