31 citations · 61 across the 3 of their papers we have counts for
3 papers
cs.CE2017★ 31 cited
Dynamic correlations at different time-scales with Empirical Mode Decomposition
Noemi Nava, T. Di Matteo, Tomaso Aste
The Empirical Mode Decomposition (EMD) provides a tool to characterize time series in terms of its implicit components oscillating at different time-scales. We apply this decomposi…
q-fin.ST2015★ 16 cited
Time-dependent scaling patterns in high frequency financial data
Noemi Nava, Tiziana Di Matteo, Tomaso Aste
We measure the influence of different time-scales on the dynamics of financial market data. This is obtained by decomposing financial time series into simple oscillations associate…
q-fin.CP2015★ 14 cited
Anomalous volatility scaling in high frequency financial data
Noemi Nava, T. Di Matteo, Tomaso Aste
Volatility of intra-day stock market indices computed at various time horizons exhibits a scaling behaviour that differs from what would be expected from fractional Brownian motion…