70 citations · 109 across the 3 of their papers we have counts for
3 papers
q-fin.ST2016★ 39 cited
Minimum spanning tree filtering of correlations for varying time scales and size of fluctuations
Jaroslaw Kwapien, Pawel Oswiecimka, Marcin Forczek +1
Based on a recently proposed -dependent detrended cross-correlation coefficient , we generalize the concept of minimum spanning tree (MST) by introducing a family of -de…
physics.data-an2013
Detrended Cross-Correlation Analysis Consistently Extended to Multifractality
Paweł Oświȩcimka, Stanisław Drożdż, Marcin Forczek +2
We propose a novel algorithm - Multifractal Cross-Correlation Analysis (MFCCA) - that constitutes a consistent extension of the Detrended Cross-Correlation Analysis (DCCA) and is a…
q-fin.ST2007★ 70 cited
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…