72 citations · 359 across the 47 of their papers we have counts for
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q-fin.ST2021★ 36 cited
Exploring asymmetric multifractal cross-correlations of price-volatility and asymmetric volatility dynamics in cryptocurrency markets
Shinji Kakinaka, Ken Umeno
Asymmetric relationship between price and volatility is a prominent feature of the financial market time series. This paper explores the price-volatility nexus in cryptocurrency ma…
q-fin.ST2018★ 13 cited
Characterizing Cryptocurrency market with Levy's stable distributions
Shinji Kakinaka, Ken Umeno
The recent emergence of cryptocurrencies such as Bitcoin and Ethereum has posed possible alternatives to global payments as well as financial assets around the globe, making invest…
q-fin.ST2017★ 2 cited
Universal Lévy's stable law of stock market and its characterization
Takumi Fukunaga, Ken Umeno
Price fluctuations in financial markets can be characterized by Lévy's stable distribution, which is supported by the generalized central limit system. When the stable parameters w…