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Price fluctuations and market activity

Citations

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Cited by:

  1. Lux, Thomas & Alfarano, Simone, 2016. "Financial power laws: Empirical evidence, models, and mechanisms," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 3-18.
  2. Lahmiri, Salim & Bekiros, Stelios, 2020. "Nonlinear analysis of Casablanca Stock Exchange, Dow Jones and S&P500 industrial sectors with a comparison," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
  3. Ling-Yun He, 2010. "Is Price Behavior Scaling and Multiscaling in a Dealer Market? Perspectives from Multi-Agent Based Experiments," Computational Economics, Springer;Society for Computational Economics, vol. 36(3), pages 263-282, October.
  4. Tanya Ara'ujo & Jo~ao Dias & Samuel Eleut'erio & Francisco Louc{c}~a, 2012. "How Fama Went Wrong: Measures of Multivariate Kurtosis for the Identification of the Dynamics of a N-Dimensional Market," Papers 1207.1202, arXiv.org.
  5. Andria, Joseph & di Tollo, Giacomo & Kalda, Jaan, 2022. "The predictive power of power-laws: An empirical time-arrow based investigation," Chaos, Solitons & Fractals, Elsevier, vol. 162(C).
  6. He, Ling-Yun & Chen, Shu-Peng, 2010. "Are developed and emerging agricultural futures markets multifractal? A comparative perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(18), pages 3828-3836.
  7. Aleksejus Kononovicius & Julius Ruseckas, 2014. "Nonlinear GARCH model and 1/f noise," Papers 1412.6244, arXiv.org, revised Feb 2015.
  8. Taisei Kaizoji, 2013. "Modelling of Stock Returns and Trading Volume," IIM Kozhikode Society & Management Review, , vol. 2(2), pages 147-155, July.
  9. Xiao-Qian Sun & Hua-Wei Shen & Xue-Qi Cheng & Yuqing Zhang, 2016. "Market Confidence Predicts Stock Price: Beyond Supply and Demand," PLOS ONE, Public Library of Science, vol. 11(7), pages 1-10, July.
  10. Dimitriadis, Timo & Halbleib, Roxana & Polivka, Jeannine & Rennspies, Jasper & Streicher, Sina & Wolter, Axel Friedrich, 2026. "Efficient sampling for realized variance estimation in time-changed diffusion models," Journal of Econometrics, Elsevier, vol. 254(PA).
  11. Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2010. "Complex stock trading network among investors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4929-4941.
  12. Bhanwar Singh & Rosy Dhall & Sahil Narang & Savita Rawat, 2024. "The Outbreak of COVID-19 and Stock Market Responses: An Event Study and Panel Data Analysis for G-20 Countries," Global Business Review, International Management Institute, vol. 25(3), pages 606-631, June.
  13. Ralf Remer & Reinhard Mahnke, 2004. "Application of the heston and hull-white models to german dax data," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 685-693.
  14. Stanley, H.Eugene, 2003. "Statistical physics and economic fluctuations: do outliers exist?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 318(1), pages 279-292.
  15. Taisei Kaizoji, 2013. "Modeling of Stock Returns and Trading Volume," Papers 1309.2416, arXiv.org.
  16. Chen, Shu-Peng & He, Ling-Yun, 2010. "Multifractal spectrum analysis of nonlinear dynamical mechanisms in China’s agricultural futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1434-1444.
  17. Lambiotte, R. & Ausloos, M. & Thelwall, M., 2007. "Word statistics in Blogs and RSS feeds: Towards empirical universal evidence," Journal of Informetrics, Elsevier, vol. 1(4), pages 277-286.
  18. Aslam, Faheem & Zil-e-huma, & Bibi, Rashida & Ferreira, Paulo, 2022. "Cross-correlations between economic policy uncertainty and precious and industrial metals: A multifractal cross-correlation analysis," Resources Policy, Elsevier, vol. 75(C).
  19. Troy Tassier, 2013. "Handbook of Research on Complexity, by J. Barkley Rosser, Jr. and Edward Elgar," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 39(1), pages 132-133.
  20. Nirei, Makoto & Stachurski, John & Watanabe, Tsutomu, 2020. "Trade clustering and power laws in financial markets," Theoretical Economics, Econometric Society, vol. 15(4), November.
  21. Zheng, Zeyu & Gui, Jun & Qiao, Zhi & Fu, Yang & Stanley, H.Eugene & Li, Baowen, 2019. "New dynamics between volume and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 1343-1350.
  22. Gabaix, Xavier & Gopikrishnan, Parameswaran & Plerou, Vasiliki & Stanley, H.Eugene, 2003. "Understanding the cubic and half-cubic laws of financial fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 1-5.
  23. Indranil Mukherjee & Amitava Sarkar, 2011. "Complexity, Financial Markets and their Scaling Laws," DEGIT Conference Papers c016_008, DEGIT, Dynamics, Economic Growth, and International Trade.
  24. Vygintas Gontis, 2021. "Order flow in the financial markets from the perspective of the Fractional L\'evy stable motion," Papers 2105.02057, arXiv.org, revised Nov 2021.
  25. Yonatan Berman & Yoash Shapira & Eshel Ben-Jacob, 2014. "Unraveling Hidden Order in the Dynamics of Developed and Emerging Markets," PLOS ONE, Public Library of Science, vol. 9(11), pages 1-10, November.
  26. Victor Olkhov, 2019. "Econophysics of Asset Price, Return and Multiple Expectations," Papers 1901.05024, arXiv.org, revised Sep 2020.
  27. Aslam, Faheem & Aziz, Saqib & Nguyen, Duc Khuong & Mughal, Khurrum S. & Khan, Maaz, 2020. "On the efficiency of foreign exchange markets in times of the COVID-19 pandemic," Technological Forecasting and Social Change, Elsevier, vol. 161(C).
  28. Makoto Nirei & John Stachurski & Tsutomu Watanabe, 2018. "Trade Clustering and Power Laws in Financial Markets (Published in Theoretical Economics, 15:1365?1398, 2020)," CARF F-Series CARF-F-450, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  29. Restocchi, Valerio & McGroarty, Frank & Gerding, Enrico, 2019. "Statistical properties of volume and calendar effects in prediction markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1150-1160.
  30. Eisler, Z. & Kertész, J., 2004. "Multifractal model of asset returns with leverage effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 343(C), pages 603-622.
  31. Onur Özdemir & Selin Yalçıntaş, 2026. "Herd investing and market inefficiency in forex markets over the COVID-19 outbreak: the multifractality analysis," SN Business & Economics, Springer, vol. 6(3), pages 1-35, March.
  32. Chen, Zhimin & Ibragimov, Rustam, 2019. "One country, two systems? The heavy-tailedness of Chinese A- and H- share markets," Emerging Markets Review, Elsevier, vol. 38(C), pages 115-141.
  33. Sun, Xiao-Qian & Cheng, Xue-Qi & Shen, Hua-Wei & Wang, Zhao-Yang, 2011. "Distinguishing manipulated stocks via trading network analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3427-3434.
  34. Wei-Xing Zhou, 2012. "Universal price impact functions of individual trades in an order-driven market," Quantitative Finance, Taylor & Francis Journals, vol. 12(8), pages 1253-1263, June.
  35. M. Bartolozzi & C. Mellen, 2009. "Local Risk Decomposition for High-frequency Trading Systems," Papers 0904.4099, arXiv.org, revised Feb 2011.
  36. Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Kiel Working Papers 1426, Kiel Institute for the World Economy.
  37. Thomas Lux, 2009. "Applications of Statistical Physics in Finance and Economics," Chapters, in: J. Barkley Rosser Jr. (ed.), Handbook of Research on Complexity, chapter 9, Edward Elgar Publishing.
  38. Steve J. Bickley & Martin Brumpton & Ho Fai Chan & Richard Colthurst & Benno Torgler, 2020. "Turbulence in the financial markets: Cross-country differences in market volatility in response to COVID-19 pandemic policies," CREMA Working Paper Series 2020-15, Center for Research in Economics, Management and the Arts (CREMA).
  39. Tao Yin & Yiming Wang, 2021. "Market Efficiency and Nonlinear Analysis of Soybean Futures," Sustainability, MDPI, vol. 13(2), pages 1-10, January.
  40. Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Economics Working Papers 2008-08, Christian-Albrechts-University of Kiel, Department of Economics.
  41. Araújo, Tanya & Dias, João & Eleutério, Samuel & Louçã, Francisco, 2013. "A measure of multivariate kurtosis for the identification of the dynamics of a N-dimensional market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3708-3714.
  42. Kononovicius, A. & Ruseckas, J., 2015. "Nonlinear GARCH model and 1/f noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 427(C), pages 74-81.
  43. Paulo L. dos Santos, 2017. "The Principle of Social Scaling," Complexity, Hindawi, vol. 2017, pages 1-9, December.
  44. Aslam, Faheem & Memon, Bilal Ahmed & Hunjra, Ahmed Imran & Bouri, Elie, 2023. "The dynamics of market efficiency of major cryptocurrencies," Global Finance Journal, Elsevier, vol. 58(C).
  45. Molero-González, Laura & Trinidad-Segovia, Juan E. & Sánchez-Granero, Miguel Ángel & Clara-Rahola, Joaquim & Puertas, Antonio M., 2025. "Dynamic heterogeneities in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 669(C).
  46. Lux, Thomas, 2006. "Financial power laws: Empirical evidence, models, and mechanism," Economics Working Papers 2006-12, Christian-Albrechts-University of Kiel, Department of Economics.
  47. Ouandlous, Arav & Barkoulas, John T. & Pantos, Themis D., 2022. "Extremity in bitcoin market activity," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
  48. Zoltan Eisler & Janos Kertesz, 2004. "Multifractal model of asset returns with leverage effect," Papers cond-mat/0403767, arXiv.org, revised May 2004.
  49. Antonio Doria, Francisco, 2011. "J.B. Rosser Jr. , Handbook of Research on Complexity, Edward Elgar, Cheltenham, UK--Northampton, MA, USA (2009) 436 + viii pp., index, ISBN 978 1 84542 089 5 (cased)," Journal of Economic Behavior & Organization, Elsevier, vol. 78(1-2), pages 196-204, April.
  50. Victor Olkhov, 2020. "Volatility Depends on Market Trades and Macro Theory," Papers 2008.07907, arXiv.org, revised Jun 2024.
  51. Pasquale, Maria & Renò, Roberto, 2005. "Statistical properties of trading volume depending on size," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 346(3), pages 518-528.
  52. Gao-Feng Gu & Xiong Xiong & Wei Zhang & Yong-Jie Zhang & Wei-Xing Zhou, 2014. "Empirical properties of inter-cancellation durations in the Chinese stock market," Papers 1403.3478, arXiv.org.
  53. Gontis, V. & Kononovicius, A., 2017. "Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 266-272.
  54. Faheem Aslam & Wahbeeah Mohti & Paulo Ferreira, 2020. "Evidence of Intraday Multifractality in European Stock Markets during the Recent Coronavirus (COVID-19) Outbreak," IJFS, MDPI, vol. 8(2), pages 1-13, May.
  55. Guido Fioretti, 2005. "A Model of Primary and Secondary Waves in Investment Cycles," Computational Economics, Springer;Society for Computational Economics, vol. 24(4), pages 357-381, June.
  56. Vygintas Gontis, 2023. "Discrete $q$-exponential limit order cancellation time distribution," Papers 2306.00093, arXiv.org, revised Oct 2023.
  57. Ni, Xiao-Hui & Jiang, Zhi-Qiang & Gu, Gao-Feng & Ren, Fei & Chen, Wei & Zhou, Wei-Xing, 2010. "Scaling and memory in the non-Poisson process of limit order cancelation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2751-2761.
  58. Olkhov, Victor, 2018. "Expectations, Price Fluctuations and Lorenz Attractor," MPRA Paper 89105, University Library of Munich, Germany.
  59. Tanya Araujo & João Dias & Samuel Eleutério & Francisco Louçã, 2012. "How Fama Went Wrong: Measures of Multivariate Kurtosis for the Identification of the Dynamics of a N-Dimensional Market," Working Papers Department of Economics 2012/21, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
  60. Luis Goncalves de Faria, 2022. "An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation," Papers 2206.09772, arXiv.org.
  61. Łukasz Bil & Dariusz Grech & Magdalena Zienowicz, 2017. "Asymmetry of price returns—Analysis and perspectives from a non-extensive statistical physics point of view," PLOS ONE, Public Library of Science, vol. 12(11), pages 1-24, November.
  62. Vygintas Gontis & Aleksejus Kononovicius, 2017. "Spurious memory in non-equilibrium stochastic models of imitative behavior," Papers 1707.09801, arXiv.org.
  63. V. Gontis & A. Kononovicius, 2017. "Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets," Papers 1701.01255, arXiv.org.
  64. Gabaix, Xavier & Gopikrishnan, Parameswaran & Plerou, Vasiliki & Eugene Stanley, H., 2008. "Quantifying and understanding the economics of large financial movements," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 303-319, January.
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