341 citations · 2.1k across the 59 of their papers we have counts for
5 papers · 1 filter
Complexity characteristics of currency networks
A. Z. Gorski, S. Drozdz, J. Kwapien +1
A large set of daily FOREX time series is analyzed. The corresponding correlation matrices (CM) are constructed for USD, EUR and PLZ used as the base currencies. The triangle rule…
Correlation matrix decomposition of WIG20 intraday fluctuations
R. Rak, S. Drozdz, J. Kwapien +1
Using the correlation matrix formalism we study the temporal aspects of the Warsaw Stock Market evolution as represented by the WIG20 index. The high frequency (1 min) WIG20 record…
Asymmetric matrices in an analysis of financial correlations
J. Kwapien, S. Drozdz, A. Z. Gorski +1
Financial markets are highly correlated systems that reveal both the inter-market dependencies and the correlations among their different components. Standard analyzing techniques…
Multifractal Model of Asset Returns versus real stock market dynamics
P. Oswiecimka, J. Kwapien, S. Drozdz +2
There is more and more empirical evidence that multifractality constitutes another and perhaps the most significant financial stylized fact. A realistic model of the financial dyna…
Nonextensive statistical features of the Polish stock market fluctuations
R. Rak, S. Drozdz, J. Kwapien
The statistics of return distributions on various time scales constitutes one of the most informative characteristics of the financial dynamics. Here we present a systematic study…