36 citations · 52 across the 4 of their papers we have counts for
4 papers
Portfolio Allocation under Heterogeneous Scales and Multifractality
Shinji Kakinaka, Ken Umeno
Cross-correlations between financial signals are neither scale-free nor amplitude-independent: they vary with the time scale over which they are measured and with the magnitude of…
Exploring asymmetric multifractal cross-correlations of price-volatility and asymmetric volatility dynamics in cryptocurrency markets
Shinji Kakinaka, Ken Umeno
Asymmetric relationship between price and volatility is a prominent feature of the financial market time series. This paper explores the price-volatility nexus in cryptocurrency ma…
Flexible Two-point Selection Approach for Characteristic Function-based Parameter Estimation of Stable Laws
Shinji Kakinaka, Ken Umeno
Stable distribution is one of the attractive models that well describes fat-tail behaviors and scaling phenomena in various scientific fields. The approach based upon the method of…
Characterizing Cryptocurrency market with Levy's stable distributions
Shinji Kakinaka, Ken Umeno
The recent emergence of cryptocurrencies such as Bitcoin and Ethereum has posed possible alternatives to global payments as well as financial assets around the globe, making invest…