341 citations · 3k across the 78 of their papers we have counts for
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q-fin.ST2015★ 48 cited
Detrended cross-correlations between returns, volatility, trading activity, and volume traded for the stock market companies
Rafal Rak, Stanislaw Drozdz, Jaroslaw Kwapien +1
We consider a few quantities that characterize trading on a stock market in a fixed time interval: logarithmic returns, volatility, trading activity (i.e., the number of transactio…
physics.data-an2015★ 164 cited
Detrended fluctuation analysis made flexible to detect range of cross-correlated fluctuations
Jaroslaw Kwapien, Pawel Oswiecimka, Stanislaw Drozdz
The detrended cross-correlation coefficient has recently been proposed to quantify the strength of cross-correlations on different temporal scales in bivariate, non-…
physics.data-an2015★ 164 cited
Detecting and interpreting distortions in hierarchical organization of complex time series
Stanisław Drożdż, Paweł Oświęcimka
Hierarchical organization is a cornerstone of complexity and multifractality constitutes its central quantifying concept. For model uniform cascades the corresponding singularity s…