43 citations · 142 across the 7 of their papers we have counts for
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q-fin.ST2016★ 11 cited
Theory of earthquakes interevent times applied to financial markets
Maciej Jagielski, Ryszard Kutner, Didier Sornette
We analyze the probability density function (PDF) of waiting times between financial loss exceedances. The empirical PDFs are fitted with the self-excited Hawkes conditional Poisso…
q-fin.ST2015★ 38 cited
Universality of market superstatistics
Mateusz Denys, Maciej Jagielski, Tomasz Gubiec +2
We use a continuous-time random walk (CTRW) to model market fluctuation data from times when traders experience excessive losses or excessive profits. We analytically derive "super…