116 citations · 373 across the 8 of their papers we have counts for
8 papers
Prediction oriented variant of financial log-periodicity and speculating about the stock market development until 2010
S. Drozdz, F. Gruemmer, F. Ruf +1
A phenomenon of the financial log-periodicity is discussed and the characteristics that amplify its predictive potential are elaborated. The principal one is self-similarity that o…
Log-periodic self-similarity: an emerging financial law?
S. Drozdz, F. Grummer, F. Ruf +1
A hypothesis that the financial log-periodicity, cascading self-similarity through various time scales, carries signatures of a law is pursued. It is shown that the most significan…
Are the contemporary financial fluctuations sooner converging to normal?
S. Drozdz, J. Kwapien, F. Gruemmer +2
Based on the tick-by-tick price changes of the companies from the U.S. and from the German stock markets over the period 1998-99 we reanalyse several characteristics established by…
Decomposing the stock market intraday dynamics
J. Kwapien, S. Drozdz, F. Gruemmer +2
The correlation matrix formalism is used to study temporal aspects of the stock market evolution. This formalism allows to decompose the financial dynamics into noise as well as in…
Quantifying dynamics of the financial correlations
S. Drozdz, J. Kwapien, F. Gruemmer +2
A novel application of the correlation matrix formalism to study dynamics of the financial evolution is presented. This formalism allows to quantify the memory effects as well as s…
Towards identifying the world stock market cross-correlations: DAX versus Dow Jones
S. Drozdz, F. Gruemmer, F. Ruf +1
Effects connected with the world globalization affect also the financial markets. On a way towards quantifying the related characteristics we study the financial empirical correlat…
Dynamics of competition between collectivity and noise in the stock market
S. Drozdz, F. Gruemmer, F. Ruf +1
Detailed study of the financial empirical correlation matrix of the 30 companies comprised by DAX within the period of the last 11 years, using the time-window of 30 trading days,…
Imprints of log-periodic self-similarity in the stock market
S. Drozdz, F. Ruf, J. Speth +1
Detailed analysis of the log-periodic structures as precursors of the financial crashes is presented. The study is mainly based on the German Stock Index (DAX) variation over the 1…