63 citations · 162 across the 16 of their papers we have counts for
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q-fin.ST2012★ 2 cited
Assessing market uncertainty by means of a time-varying intermittency parameter for asset price fluctuations
Martin Rypdal, Espen Sirnes, Ola Løvsletten +1
Maximum likelihood estimation applied to high-frequency data allows us to quantify intermittency in the fluctu- ations of asset prices. From time records as short as one month thes…
q-fin.ST2007★ 1 cited
A stochastic theory for temporal fluctuations in self-organized critical systems
Martin Rypdal, Kristoffer Rypdal
A stochastic theory for the toppling activity in sandpile models is developed, based on a simple mean-field assumption about the toppling process. The theory describes the process…