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Statistical analysis of the overnight and daytime return
Fengzhong Wang, Shwu-Jane Shieh, Shlomo Havlin +1
We investigate the two components of the total daily return (close-to-close), the overnight return (close-to-open) and the daytime return (open-to-close), as well as the correspond…
Multifactor Analysis of Multiscaling in Volatility Return Intervals
Fengzhong Wang, Kazuko Yamasaki, Shlomo Havlin +1
We study the volatility time series of 1137 most traded stocks in the US stock markets for the two-year period 2001-02 and analyze their return intervals , which are time interv…
The structural role of weak and strong links in a financial market network
Antonios Garas, Panos Argyrakis, Shlomo Havlin
We investigate the properties of correlation based networks originating from economic complex systems, such as the network of stocks traded at the New York Stock Exchange (NYSE). T…
Comparison of detrending methods for fluctuation analysis
Amir Bashan, Ronny Bartsch, Jan W. Kantelhardt +1
We examine several recently suggested methods for the detection of long-range correlations in data series based on similar ideas as the well-established Detrended Fluctuation Analy…
Volatility return intervals analysis of the Japanese market
Woo-Sung Jung, Fengzhong Wang, Shlomo Havlin +3
We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold for the Japanese stock market using daily and intraday data s…
Indication of multiscaling in the volatility return intervals of stock markets
Fengzhong Wang, Kazuko Yamasaki, Shlomo Havlin +1
The distribution of the return intervals between volatilities above a threshold for financial records has been approximated by a scaling behavior. To explore how accurate i…