31 citations · 31 across the 1 of their papers we have counts for
2 papers
q-fin.ST2020★ 31 cited
Information transfer between stock market sectors: A comparison between the USA and China
Peng Yue, Yaodong Fan, Jonathan A. Batten +1
Information diffusion within financial markets plays a crucial role in the process of price formation and the propagation of sentiment and risk. We perform a comparative analysis o…
math.ST2004
Decomposing Intraday Dependence in Currency Markets: Evidence from the AUD/USD Spot Market
Jonathan A. Batten, Craig A. Ellis, Warren P. Hogan
The local Hurst exponent, a measure employed to detect the presence of dependence in a time series, may also be used to investigate the source of intraday variation observed in the…