71 citations · 102 across the 9 of their papers we have counts for
4 papers · 1 filter
Complex Correlation Approach for High Frequency Financial Data
Mateusz Wilinski, Yuichi Ikeda, Hideaki Aoyama
We propose a novel approach that allows to calculate Hilbert transform based complex correlation for unevenly spaced data. This method is especially suitable for high frequency tra…
Intra-day variability of the stock market activity versus stationarity of the financial time series
T. Gubiec, M. Wiliński
We describe the impact of the intra-day activity pattern on the autocorrelation function estimator. We obtain an exact formula relating estimators of the autocorrelation functions…
Nucleation, condensation and lambda-transition on a real-life stock market
M. Wilinski, B. Szewczak, T. Gubiec +2
We fill a void in merging empirical and phenomenological characterisation of the dynamical phase transitions in complex systems by identifying three of them on real-life financial…
Structural and topological phase transitions on the German Stock Exchange
M. Wiliński, A. Sienkiewicz, T. Gubiec +2
We find numerical and empirical evidence for dynamical, structural and topological phase transitions on the (German) Frankfurt Stock Exchange (FSE) in the temporal vicinity of the…