341 citations · 2.1k across the 59 of their papers we have counts for
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physics.soc-ph2005★ 65 cited
The bulk of the stock market correlation matrix is not pure noise
J. Kwapien, P. Oswiecimka, S. Drozdz
We analyse the structure of the distribution of eigenvalues of the stock market correlation matrix with increasing length of the time series representing the price changes. We use…
cond-mat.other2005★ 341 cited
Wavelet versus Detrended Fluctuation Analysis of multifractal structures
Pawel Oswiecimka, Jaroslaw Kwapien, S. Drozdz
We perform a comparative study of applicability of the Multifractal Detrended Fluctuation Analysis (MFDFA) and the Wavelet Transform Modulus Maxima (WTMM) method in proper detectin…