171 citations · 626 across the 15 of their papers we have counts for
8 papers · 1 filter
Dynamical variety of shapes in financial multifractality
Stanisław Drożdż, Rafał Kowalski, Paweł Oświȩcimka +2
The concept of multifractality offers a powerful formal tool to filter out multitude of the most relevant characteristics of complex time series. The related studies thus far prese…
Detrended cross-correlations between returns, volatility, trading activity, and volume traded for the stock market companies
Rafal Rak, Stanislaw Drozdz, Jaroslaw Kwapien +1
We consider a few quantities that characterize trading on a stock market in a fixed time interval: logarithmic returns, volatility, trading activity (i.e., the number of transactio…
Multifractal Flexibly Detrended Fluctuation Analysis
Rafal Rak, Pawel Zięba
Multifractal time series analysis is a approach that shows the possible complexity of the system. Nowadays, one of the most popular and the best methods for determining multifracta…
Stock returns versus trading volume: is the correspondence more general?
Rafal Rak, Stanislaw Drozdz, Jaroslaw Kwapien +1
This paper presents a quantitative analysis of the relationship between the stock market returns and corresponding trading volumes using high- frequency data from the Polish stock…
The foreign exchange market: return distributions, multifractality, anomalous multifractality and Epps effect
Stanislaw Drozdz, Jaroslaw Kwapien, Pawel Oswiecimka +1
We present a systematic study of various statistical characteristics of high-frequency returns from the foreign exchange market. This study is based on six exchange rates forming t…
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)…