532 citations · 3.1k across the 44 of their papers we have counts for
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The Size Variance Relationship of Business Firm Growth Rates
Massimo Riccaboni, Fabio Pammolli, Sergey V. Buldyrev +2
The relationship between the size and the variance of firm growth rates is known to follow an approximate power-law behavior where is the firm size and $β…
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…
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…
Modeling long-range cross-correlations in two-component ARFIMA and FIARCH processes
Boris Podobnik, Davor Horvatic, Alfonso Lam Ng +2
We investigate how simultaneously recorded long-range power-law correlated multi-variate signals cross-correlate. To this end we introduce a two-component ARFIMA stochastic process…
Group dynamics of the Japanese market
Woo-Sung Jung, Okyu Kwon, Fengzhong Wang +3
We investigated the network structures of the Japanese stock market through the minimum spanning tree. We defined grouping coefficient to test the validity of conventional grouping…
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…