71 citations · 216 across the 17 of their papers we have counts for
Showing 2014Show all
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q-fin.ST2014★ 1 cited
Universality of Tsallis q-exponential of interoccurrence times within the microscopic model of cunning agents
Mateusz Denys, Tomasz Gubiec, Ryszard Kutner
We proposed the agent-based model of financial markets where agents (or traders) are represented by three-state spins located on the plane lattice or social network. The spin varia…
q-fin.ST2014★ 8 cited
Intra-day variability of the stock market activity versus stationarity of the financial time series
T. Gubiec, M. Wiliński
We describe the impact of the intra-day activity pattern on the autocorrelation function estimator. We obtain an exact formula relating estimators of the autocorrelation functions…