162 citations · 1.2k across the 48 of their papers we have counts for
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q-fin.ST2012★ 4 cited
Aftershock prediction for high-frequency financial markets' dynamics
Fulvio Baldovin, Francesco Camana, Michele Caraglio +2
The occurrence of aftershocks following a major financial crash manifests the critical dynamical response of financial markets. Aftershocks put additional stress on markets, with c…
q-fin.TR2012
Ensemble properties of high frequency data and intraday trading rules
Fulvio Baldovin, Francesco Camana, Massimiliano Caporin +2
Regarding the intraday sequence of high frequency returns of the S&P index as daily realizations of a given stochastic process, we first demonstrate that the scaling properties of…