63 citations · 220 across the 6 of their papers we have counts for
8 papers
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…
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…
A Generalized Preferential Attachment Model for Business Firms Growth Rates: II. Mathematical Treatment
S. V. Buldyrev, F. Pammolli, M. Riccaboni +4
We present a preferential attachment growth model to obtain the distribution of number of units in the classes which may represent business firms or other socio-economic…
A Generalized Preferential Attachment Model for Business Firms Growth Rates: I. Empirical Evidence
Fabio Pammolli, Dongfeng Fu, S. V. Buldyrev +4
We introduce a model of proportional growth to explain the distribution of business firm growth rates. The model predicts that is Laplace in the central part and depi…
Scaling and memory of intraday volatility return intervals in stock market
Fengzhong Wang, Kazuko Yamasaki, Shlomo Havlin +1
We study the return interval between price volatilities that are above a certain threshold for 31 intraday datasets, including the Standard & Poor's 500 index and the 30 st…
Statistical Properties of Demand Fluctuation in the Financial Market
Kaushik Matia, Kazuko Yamasaki
We examine the out-of-equilibrium phase reported by Plerou {\it et. al.} in Nature, {\bf 421}, 130 (2003) using the data of the New York stock market (NYSE) between the years 2001…