33 citations · 78 across the 9 of their papers we have counts for
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cond-mat.stat-mech2005★ 6 cited
Scaling analysis of multivariate intermittent time series
Robert Kitt, Jaan Kalda
The scaling properties of the time series of asset prices and trading volumes of stock markets are analysed. It is shown that similarly to the asset prices, the trading volume data…
cond-mat.stat-mech2004★ 2 cited
Properties of low variability periods in financial time series
R. Kitt, J. Kalda
Properties of low-variability periods in the time series are analysed. The theoretical approach is used to show the relationship between the multi-scaling of low-variability period…