70 citations · 138 across the 4 of their papers we have counts for
6 papers
Different fractal properties of positive and negative returns
P. Oswiecimka, J. Kwapien, S. Drozdz +2
We perform an analysis of fractal properties of the positive and the negative changes of the German DAX30 index separately using Multifractal Detrended Fluctuation Analysis (MFDFA)…
Cross-correlations in Warsaw Stock Exchange
R. Rak, J. Kwapien, S. Drozdz +1
We study the inter-stock correlations for the largest companies listed on Warsaw Stock Exchange and included in the WIG20 index. Our results from the correlation matrix analysis in…
Stock market return distributions: from past to present
S. Drozdz, M. Forczek, J. Kwapien +2
We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling inde…
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…
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…