2k citations · 9.9k across the 102 of their papers we have counts for
Showing cond-mat.otherShow all
2 papers · 1 filter
cond-mat.other2004★ 1 cited
Short-term market reaction after extreme price changes of liquid stocks
Adam G. Zawadowski, Gyorgy Andor, Janos Kertesz
In our empirical study, we examine the price of liquid stocks after experiencing a large intraday price change using data from the NYSE and the NASDAQ. We find significant reversal…
cond-mat.other2004★ 54 cited
Multifractal model of asset returns with leverage effect
Zoltan Eisler, Janos Kertesz
Multifractal processes are a relatively new tool of stock market analysis. Their power lies in the ability to take multiple orders of autocorrelations into account explicitly. In t…