116 citations · 440 across the 12 of their papers we have counts for
12 papers
Coherent Patterns in Nuclei and in Financial Markets
S. Drozdz, J. Kwapien, J. Speth
In the area of traditional physics the atomic nucleus belongs to the most complex systems. It involves essentially all elements that characterize complexity including the most dist…
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…
Time scales involved in market emergence
J. Kwapien, S. Drozdz, J. Speth
In addressing the question of the time scales characteristic for the market formation, we analyze high frequency tick-by-tick data from the NYSE and from the German market. By usin…
Alternation of different fluctuation regimes in the stock market dynamics
J. Kwapien, S. Drozdz, J. Speth
Based on the tick-by-tick stock prices from the German and American stock markets, we study the statistical properties of the distribution of the individual stocks and the index re…
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…
Financial multifractality and its subtleties: an example of DAX
A. Z. Gorski, S. Drozdz, J. Speth
Detailed study of multifractal characteristics of the financial time series of asset values and of its returns is performed using a collection of the high frequency Deutsche Aktien…
Identifying Complexity by Means of Matrices
S. Drozdz, J. Kwapien, J. Speth +1
Complexity is an interdisciplinary concept which, first of all, addresses the question of how order emerges out of randomness. For many reasons matrices provide a very practical an…
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,…