output
20052026
most citedWhat are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis

999 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions
Showing 2013 · q-fin.STShow all

8 papers · 2 filters

q-fin.ST2013★ 179 cited

Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series

Ladislav Kristoufek

In the paper, we introduce a new measure of correlation between possibly non-stationary series. As the measure is based on the detrending moving-average cross-correlation analysis…

q-fin.ST2013★ 222 cited

Measuring correlations between non-stationary series with DCCA coefficient

Ladislav Kristoufek

In this short report, we investigate the ability of the DCCA coefficient to measure correlation level between non-stationary series. Based on a wide Monte Carlo simulation study, w…

q-fin.ST2013★ 102 cited

Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence

Ladislav Kristoufek

We analyze whether the prediction of the fractal markets hypothesis about a dominance of specific investment horizons during turbulent times holds. To do so, we utilize the continu…

q-fin.ST2013

Commodity futures and market efficiency

Ladislav Kristoufek, Miloslav Vosvrda

We analyze the market efficiency of 25 commodity futures across various groups -- metals, energies, softs, grains and other agricultural commodities. To do so, we utilize recently…

q-fin.ST2013★ 3 cited

Exponential and power laws in public procurement markets

Ladislav Kristoufek, Jiri Skuhrovec

For the first time ever, we analyze a unique public procurement database, which includes information about a number of bidders for a contract, a final price, an identification of a…

q-fin.ST2013★ 46 cited

Mixed-correlated ARFIMA processes for power-law cross-correlations

Ladislav Kristoufek

We introduce a general framework of the Mixed-correlated ARFIMA (MC-ARFIMA) processes which allows for various specifications of univariate and bivariate long-term memory. Apart fr…

q-fin.ST2013★ 30 cited

Testing power-law cross-correlations: Rescaled covariance test

Ladislav Kristoufek

We introduce a new test for detection of power-law cross-correlations among a pair of time series - the rescaled covariance test. The test is based on a power-law divergence of the…

q-fin.ST2013★ 88 cited

Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy

Ladislav Kristoufek, Miloslav Vosvrda

We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index [Kristoufek & Vosvrda (2013), Physica A 392]. This way, we are ab…