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Dependency structure and scaling properties of financial time series are related
We report evidence of a deep interplay between cross-correlations hierarchical properties and multifractality of New York Stock Exchange daily stock returns. The degree of multifractality displayed by different stocks is found to be positively correlated to their depth in the hierarchy of cross-corr...
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| Hoofdauteurs: | , , |
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| Formaat: | Artigo |
| Taal: | Inglês |
| Gepubliceerd in: |
Nature Publishing Group
2014
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| Onderwerpen: | |
| Online toegang: | https://ncbi.nlm.nih.gov/pmc/articles/PMC3980463/ https://ncbi.nlm.nih.gov/pubmed/24699417 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1038/srep04589 |
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