116 citations · 440 across the 12 of their papers we have counts for
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cond-mat.stat-mech2003★ 39 cited
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…
cond-mat.soft2003★ 15 cited
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…