1.5k citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- University of RijekaHR25 papers
- Boston UniversityUS23 papers
- University of ZagrebHR8 papers
- East China University of Science and TechnologyCN7 papers
- Luxembourg School of BusinessLU6 papers
- University of LjubljanaSI6 papers
- Bulgarian Academy of SciencesBG3 papers
- Georgi Nadjakov Institute of Solid State PhysicsBG3 papers
- National University of SingaporeSG3 papers
- University of MariborSI3 papers
- Beijing Normal UniversityCN2 papers
- Faculty of Electrical Engineering and Computing in ZagrebHR2 papers
9 papers · 1 filter
Scaling properties of extreme price fluctuations in Bitcoin markets
Stjepan Begušić, Zvonko Kostanjčar, H. Eugene Stanley +1
Detection of power-law behavior and studies of scaling exponents uncover the characteristics of complexity in many real world phenomena. The complexity of financial markets has alw…
The q-dependent detrended cross-correlation analysis of stock market
Longfeng Zhao, Wei Li, Andrea Fenu +3
The properties of q-dependent cross-correlation matrices of stock market have been analyzed by using the random matrix theory and complex network. The correlation structures of the…
Short term prediction of extreme returns based on the recurrence interval analysis
Zhi-Qiang Jiang, Gang-Jin Wang, Askery Canabarro +4
Being able to predict the occurrence of extreme returns is important in financial risk management. Using the distribution of recurrence intervals---the waiting time between consecu…
Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets
Zhi-Qiang Jiang, Askery A. Canabarro, Boris Podobnik +2
Being able to forcast extreme volatility is a central issue in financial risk management. We present a large volatility predicting method based on the distribution of recurrence in…
Detrended partial cross-correlation analysis of two nonstationary time series influenced by common external forces
Xi-Yuan Qian, Ya-Min Liu, Zhi-Qiang Jiang +3
When common factors strongly influence two power-law cross-correlated time series recorded in complex natural or social systems, using classic detrended cross-correlation analysis…
Systemic risk and spatiotemporal dynamics of the US housing market
Hao Meng, Wen-Jie Xie, Zhi-Qiang Jiang +3
Housing markets play a crucial role in economies and the collapse of a real-estate bubble usually destabilizes the financial system and causes economic recessions. We investigate t…
Cross-correlations between volume change and price change
Boris Podobnik, Davor Horvatic, Alexander M. Petersen +1
In finance, one usually deals not with prices but with growth rates , defined as the difference in logarithm between two consecutive prices. Here we consider not the trading vol…
Modeling long-range cross-correlations in two-component ARFIMA and FIARCH processes
Boris Podobnik, Davor Horvatic, Alfonso Lam Ng +2
We investigate how simultaneously recorded long-range power-law correlated multi-variate signals cross-correlate. To this end we introduce a two-component ARFIMA stochastic process…
Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Non-stationary Time Series
Boris Podobnik, H. Eugene Stanley
Here we propose a method, based on detrended covariance which we call detrended cross-correlation analysis (DXA), to investigate power-law cross-correlations between different simu…