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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…