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”Direct” causal cascade in the stock market

Author

Listed:
  • A. Arnéodo
  • J.-F. Muzy
  • D. Sornette

Abstract

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Suggested Citation

  • A. Arnéodo & J.-F. Muzy & D. Sornette, 1998. "”Direct” causal cascade in the stock market," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 2(2), pages 277-282, March.
  • Handle: RePEc:spr:eurphb:v:2:y:1998:i:2:p:277-282:10.1007/s100510050250
    DOI: 10.1007/s100510050250
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    File URL: http://hdl.handle.net/10.1007/s100510050250
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    Citations

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    Cited by:

    1. Kaizoji, Taisei & Bornholdt, Stefan & Fujiwara, Yoshi, 2002. "Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 441-452.
    2. D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
    3. Sornette, Didier & Johansen, Anders, 1998. "A hierarchical model of financial crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 261(3), pages 581-598.
    4. Renner, Ch. & Peinke, J. & Friedrich, R., 2001. "Evidence of Markov properties of high frequency exchange rate data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 298(3), pages 499-520.
    5. Ho, Ding-Shun & Lee, Chung-Kung & Wang, Cheng-Cai & Chuang, Mang, 2004. "Scaling characteristics in the Taiwan stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 332(C), pages 448-460.
    6. Struzik, Zbigniew R., 2001. "Wavelet methods in (financial) time-series processing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 296(1), pages 307-319.
    7. Selçuk, Faruk & Gençay, Ramazan, 2006. "Intraday dynamics of stock market returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 375-387.
    8. Turiel, Antonio & Pérez-Vicente, Conrad J., 2003. "Multifractal geometry in stock market time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 322(C), pages 629-649.
    9. Vladimir Filimonov & Didier Sornette, 2014. "Power law scaling and "Dragon-Kings" in distributions of intraday financial drawdowns," Papers 1407.5037, arXiv.org, revised Apr 2015.

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