120 citations · 265 across the 5 of their papers we have counts for
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q-fin.ST2014
Emergence of statistically validated financial intraday lead-lag relationships
Chester Curme, Michele Tumminello, Rosario N. Mantegna +2
According to the leading models in modern finance, the presence of intraday lead-lag relationships between financial assets is negligible in efficient markets. With the advance of…
q-fin.ST2013★ 67 cited
Evolution of correlation structure of industrial indices of US equity markets
Giuseppe Buccheri, Stefano Marmi, Rosario N. Mantegna
We investigate the dynamics of correlations present between pairs of industry indices of US stocks traded in US markets by studying correlation based networks and spectral properti…