341 citations · 2.1k across the 59 of their papers we have counts for
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Alternation of different fluctuation regimes in the stock market dynamics
J. Kwapien, S. Drozdz, J. Speth
Based on the tick-by-tick stock prices from the German and American stock markets, we study the statistical properties of the distribution of the individual stocks and the index re…
Are the contemporary financial fluctuations sooner converging to normal?
S. Drozdz, J. Kwapien, F. Gruemmer +2
Based on the tick-by-tick price changes of the companies from the U.S. and from the German stock markets over the period 1998-99 we reanalyse several characteristics established by…
Identifying Complexity by Means of Matrices
S. Drozdz, J. Kwapien, J. Speth +1
Complexity is an interdisciplinary concept which, first of all, addresses the question of how order emerges out of randomness. For many reasons matrices provide a very practical an…
Decomposing the stock market intraday dynamics
J. Kwapien, S. Drozdz, F. Gruemmer +2
The correlation matrix formalism is used to study temporal aspects of the stock market evolution. This formalism allows to decompose the financial dynamics into noise as well as in…
Quantifying dynamics of the financial correlations
S. Drozdz, J. Kwapien, F. Gruemmer +2
A novel application of the correlation matrix formalism to study dynamics of the financial evolution is presented. This formalism allows to quantify the memory effects as well as s…