Benoît B. Mandelbrot : Citation Profile


Deceased: 2010-10-14

14

H index

18

i10 index

2812

Citations

RESEARCH PRODUCTION:

27

Articles

10

Papers

2

Chapters

RESEARCH ACTIVITY:

   48 years (1962 - 2010). See details.
   Cites by year: 58
   Journals where Benoît B. Mandelbrot has often published
   Relations with other researchers
   Recent citing documents: 173.    Total self citations: 4 (0.14 %)

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   Permalink: http://citec.repec.org/pma1336
   Updated: 2022-11-19    RAS profile:    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Benoît B. Mandelbrot.

Is cited by:

Climent Hernández, José (42)

Fabozzi, Frank (27)

Los, Cornelis (25)

Lux, Thomas (24)

Bollerslev, Tim (20)

Gil-Alana, Luis (20)

Farmer, J. (19)

de Vries, Casper (18)

Labondance, Fabien (16)

Hubert, Paul (16)

Onali, Enrico (16)

Cites to:

Ghysels, Eric (11)

gourieroux, christian (8)

Jasiak, Joann (8)

Drost, Feike C. (8)

Calvet, Laurent (6)

Bollerslev, Tim (6)

Fisher, Adlai (6)

Baillie, Richard (5)

Engle, Robert (4)

Clark, Peter (3)

Olsen, Richard (2)

Main data


Where Benoît B. Mandelbrot has published?


Journals with more than one article published# docs
Physica A: Statistical Mechanics and its Applications6
Quantitative Finance5
The Journal of Business4
Stochastic Processes and their Applications2
Operations Research2
Annals of Finance2

Working Papers Series with more than one paper published# docs
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University6
Working Papers / HAL3

Recent works citing Benoît B. Mandelbrot (2022 and 2021)


YearTitle of citing document
2021Tail Behaviour of the Nifty-50 Stocks during Crises Periods. (2021). , Srilakshminarayana. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:25:y:2021:i:4:p:115-151.

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2021Volatility Forecasting, Market Efficiency and Effect of Recession of SRI Indices. (2021). Roy, Subrata. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(627):y:2021:i:2(627):p:259-284.

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2022Multifractal analysis of equities. Evidence from the emerging and frontier banking sectors. (2022). Raju, Raghavender G ; Guptha, Siva Kiran ; Poojari, Akash P. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(632):y:2022:i:3(632):p:61-80.

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2021Teaching statistical inference without normality. (2021). Hafner, Christian. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021027.

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2021Time-varying volatility in Bitcoin market and information flow at minute-level frequency. (2020). Antulov-Fantulin, Nino ; Barjavsi, Irena. In: Papers. RePEc:arx:papers:2004.00550.

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2022Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061.

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2021Multiscale characteristics of the emerging global cryptocurrency market. (2020). Zd, Stanislaw Dro ; Wkatorek, Marcin ; Stanuszek, Marek ; O'Swikecimka, Pawel ; Minati, Ludovico ; Kwapie, Jaroslaw. In: Papers. RePEc:arx:papers:2010.15403.

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2021Dynamical Characteristics of Global Stock Markets Based on Time Dependent Tsallis Non-Extensive Statistics and Generalized Hurst Exponents. (2020). Karakatsanis, Leonidas P ; Antoniades, Ioannis P ; Pavlos, Evgenios G. In: Papers. RePEc:arx:papers:2012.06856.

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2021Unraveling S&P500 stock volatility and networks -- An encoding and decoding approach. (2021). Hsieh, Fushing ; Wang, Xiaodong. In: Papers. RePEc:arx:papers:2101.09395.

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2021Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules. (2021). Alexander, Carol ; Coulon, Michael ; Han, Yang ; Meng, Xiaochun. In: Papers. RePEc:arx:papers:2101.12693.

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2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2021A combinatorial optimization approach to scenario filtering in portfolio selection. (2021). Scozzari, Andrea ; Rodr, Mois'Es ; Ricca, Federica ; Puerto, Justo. In: Papers. RePEc:arx:papers:2103.01123.

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2021Global Index on Financial Losses due to Crime in the United States. (2021). Mahanama, Thilini ; Rachev, Svetlozar ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2105.03514.

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2021Bayesian inference and superstatistics to describe long memory processes of financial time series. (2021). Ducournau, Geoffrey. In: Papers. RePEc:arx:papers:2105.04171.

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2021Neural Options Pricing. (2021). Delise, Timothy. In: Papers. RePEc:arx:papers:2105.13320.

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2021Financial Return Distributions: Past, Present, and COVID-19. (2021). Zd, Stanislaw Dro ; Kwapie, Jaroslaw ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:2107.06659.

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2021Simulation and estimation of an agent-based market-model with a matching engine. (2021). Gebbie, Tim ; Chang, Patrick ; Jericevich, Ivan. In: Papers. RePEc:arx:papers:2108.07806.

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2021Multi-Transformer: A New Neural Network-Based Architecture for Forecasting S&P Volatility. (2021). Jos'e Javier N'u~nez-Vel'azquez, ; Alonso-Gonz, Pablo J ; Ramos, Eduardo. In: Papers. RePEc:arx:papers:2109.12621.

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2021Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes. (2021). Rachev, Svetlozar T ; Lindquist, Brent W ; Mittnik, Stefan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2109.15051.

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2022Fractional SDE-Net: Generation of Time Series Data with Long-term Memory. (2022). Nakagawa, Kei ; Hayashi, Kohei. In: Papers. RePEc:arx:papers:2201.05974.

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2022Multiscaling and rough volatility: an empirical investigation. (2022). di Matteo, T ; Brandi, Giuseppe. In: Papers. RePEc:arx:papers:2201.10466.

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2022Bridging the Gap: Decoding the Intrinsic Nature of Time in Market Data. (2022). Golub, Anton ; Glattfelder, James B. In: Papers. RePEc:arx:papers:2204.02682.

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2022Scale Dependencies and Self-Similarity Through Wavelet Scattering Covariance. (2022). Mallat, St'Ephane ; Bouchaud, Jean-Philippe ; Leonarduzzi, Roberto ; Rochette, Gaspar ; Morel, Rudy. In: Papers. RePEc:arx:papers:2204.10177.

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2022Modeling Randomly Walking Volatility with Chained Gamma Distributions. (2022). Zhou, Youzhou ; Niu, Qiang ; Zhang, DI. In: Papers. RePEc:arx:papers:2207.01151.

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2022Pricing Stocks with Trading Volumes. (2022). Zhang, Ran ; Lu, Yang ; Li, Yutian ; Duan, Ben. In: Papers. RePEc:arx:papers:2208.12067.

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2022Precision measurement of the return distribution property of the Chinese stock market index. (2022). Zheng, Yanyan ; Liu, Peng. In: Papers. RePEc:arx:papers:2209.08521.

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2022Efficient evaluation of expectations of functions of a stable L\evy process and its extremum. (2022). Levendorskiui, Sergei ; Boyarchenko, Svetlana. In: Papers. RePEc:arx:papers:2209.12349.

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2022The Empirical Reality of IT Project Cost Overruns: Discovering A Power-Law Distribution. (2022). Bester, Dirk W ; Lunn, Daniel ; Keil, Mark ; Lee, Jong Seok ; Budzier, Alexander ; Flyvbjerg, Bent. In: Papers. RePEc:arx:papers:2210.01573.

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2022Shannon entropy: an econophysical approach to cryptocurrency portfolios. (2022). Miramontes, Octavio ; Rodriguez-Rodriguez, Noe. In: Papers. RePEc:arx:papers:2210.02633.

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2022Sector-wise analysis of Indian stock market: Long and short-term risk and stability analysis. (2022). Sadhukhan, Poulomi. In: Papers. RePEc:arx:papers:2210.09619.

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2022A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683.

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2022Next generation models for portfolio risk management: An approach using financial big data. (2022). Yu, Seunghyeon ; Kim, Donggyu ; Jung, Kwangmin. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:3:p:765-787.

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2021A Discussion of Non?Gaussian Price Processes for Energy and Commodity Operations. (2021). Secomandi, Nicola ; Gambaro, Anna Maria. In: Production and Operations Management. RePEc:bla:popmgt:v:30:y:2021:i:1:p:47-67.

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2021Climate policy and transition risk in the housing market. (2021). Ferentinos, Konstantinos ; Guin, Benjamin ; Gibberd, Alex. In: Bank of England working papers. RePEc:boe:boeewp:0918.

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2021Persistence in ESG and Conventional Stock Market Indices. (2021). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Makarenko, Inna ; Plastun, Alex. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9098.

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2021Matching Workers Skills and Firms Technologies: From Bundling to Unbundling. (2021). Kramarz, Francis ; Chone, Philippe. In: Working Papers. RePEc:crs:wpaper:2021-10.

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2022A novel and efficient operational matrix for solving nonlinear stochastic differential equations driven by multi-fractional Gaussian noise. (2022). Rashidinia, Jalil ; Eftekhari, Tahereh. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:429:y:2022:i:c:s0096300322002922.

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2021The informational content of implied volatility: Application to the USD/JPY exchange rates. (2021). Wu, Han ; Zhao, YU ; Li, Jie ; Peng, Qing. In: Journal of Asian Economics. RePEc:eee:asieco:v:76:y:2021:i:c:s1049007821000920.

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2021Abnormal volatility in seasoned equity offerings during economic disruptions. (2021). Bakry, Walid ; Prasad, Mason ; Varua, Maria Estela. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000538.

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2021A portfolio strategy of stock market based on mean-MF-X-DMA model. (2021). Wu, Congxin ; Chen, Hongtao ; Ye, Xin ; Wang, Feng. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:143:y:2021:i:c:s0960077920310365.

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2021A robust numerical scheme for a time-fractional Black-Scholes partial differential equation describing stock exchange dynamics. (2021). Nuugulu, Samuel ; Patidar, Kailash C ; Gideon, Frednard. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:145:y:2021:i:c:s0960077921001065.

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2021Modelling and forecasting of growth rate of new COVID-19 cases in top nine affected countries: Considering conditional variance and asymmetric effect. (2021). Ekinci, Aykut. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:151:y:2021:i:c:s0960077921005816.

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2022U.S. Politics from a multifractal perspective. (2022). Schadner, Wolfgang. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:155:y:2022:i:c:s0960077921010316.

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2022The predictive power of power-laws: An empirical time-arrow based investigation. (2022). Kalda, Jaan ; di Tollo, Giacomo ; Andria, Joseph. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:162:y:2022:i:c:s096007792200635x.

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2022Controversy in financial chaos research and nonlinear dynamics: A short literature review. (2022). Vogl, Markus. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:162:y:2022:i:c:s0960077922006543.

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2021Market stability with machine learning agents. (2021). Georges, Christophre ; Pereira, Javier. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:122:y:2021:i:c:s0165188920302001.

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2022Comparing the asymmetric efficiency of dirty and clean energy markets pre and during COVID-19. (2022). Tiwari, Aviral Kumar ; Farid, Saqib ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:75:y:2022:i:c:p:548-562.

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2021Limitations of portfolio diversification through fat tails of the return Distributions: Some empirical evidence. (2021). Scalas, Enrico ; Livan, Giacomo ; Kaizoji, Taisei ; Eom, Cheoljun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302394.

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2021The daily relationship between U.S. asset prices and stock prices of American countries. (2021). Paphakin, Warinthorn ; Chin, Chang-Chiang . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000346.

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2021Evolution of price effects after one-day abnormal returns in the US stock market. (2021). Plastun, Alex ; GUPTA, RANGAN ; Wohar, Mark E ; Sibande, Xolani. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000383.

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2021Wavelet coherence analysis of returns, volatility and interdependence of the US and the EU money markets: Pre & post crisis. (2021). Vuković, Darko ; Maiti, Moinak ; Lapshina, Kseniya A ; Vukovic, Darko B. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000838.

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2021Fractal statistical measure and portfolio model optimization under power-law distribution. (2021). Yan, Ruzhen ; Li, Jia ; Zhang, Linlin ; Wu, XU. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001169.

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2021Testing high-dimensional covariance matrices under the elliptical distribution and beyond. (2021). Chen, Jiaqi ; Zheng, Xinghua ; Yang, Xinxin. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:409-423.

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2022Inference for Nonlinear State Space Models: A Comparison of Different Methods applied to Markov-Switching Multifractal Models. (2022). Lux, Thomas. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:69-95.

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2022Heterogeneous workers, trade, and migration. (2022). Heiland, Inga ; Kohler, Wilhelm. In: European Economic Review. RePEc:eee:eecrev:v:144:y:2022:i:c:s0014292122000265.

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2021Extending the Fama and French model with a long term memory factor. (2021). POUCHKAREV, I ; Sanchez-Granero, M A ; Trinidad-Segovia, J E ; Lopez-Garcia, M N. In: European Journal of Operational Research. RePEc:eee:ejores:v:291:y:2021:i:2:p:421-426.

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2022Reconciling mean-variance portfolio theory with non-Gaussian returns. (2022). Lassance, Nathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:2:p:729-740.

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2021Volatility cascades in cryptocurrency trading. (2021). Tsiakas, Ilias ; Gradojevic, Nikola. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:252-265.

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2022Economic importance of correlations for energy and other commodities. (2022). Narayan, Paresh Kumar ; Bannigidadmath, Deepa. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000408.

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2021Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis. (2021). Farid, Saqib ; Naeem, Muhammad Abubakr ; Hussain, Syed Jawad ; Ferrer, Roman. In: Energy Policy. RePEc:eee:enepol:v:153:y:2021:i:c:s0301421521001543.

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2022GHTnet: Tri-Branch deep learning network for real-time electricity price forecasting. (2022). Schell, Kristen R ; Yang, Haolin. In: Energy. RePEc:eee:energy:v:238:y:2022:i:pc:s0360544221023008.

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2021A price dynamic equilibrium model with trading volume weights based on a price-volume probability wave differential equation. (2021). Li, Hong Gang ; Guo, Xinshuai ; Wang, Binghong ; Shi, Leilei. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521920302465.

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2021Predicting stock returns: A risk measurement perspective. (2021). Wen, Fenghua ; Kang, Jie ; Dai, Zhifeng. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000193.

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2021What do we know about the second moment of financial markets?. (2021). Grobys, Klaus. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002180.

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2021Financing the green projects: Market efficiency and volatility persistence of green versus conventional bonds, and the comparative effects of health and financial crises. (2021). Oliyide, Johnson ; Adekoya, Oluwasegun ; Jalalifar, Saba ; Asl, Mahdi Ghaemi. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s105752192100274x.

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2022Which cryptocurrency data sources should scholars use?. (2022). Vidal-Tomas, David. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000369.

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2022Multivariate long memory structure in the cryptocurrency market: The impact of COVID-19. (2022). Demir, Ender ; Bhandari, Avishek ; Assaf, Ata ; Charif, Husni. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001004.

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2021Fractal analysis of market (in)efficiency during the COVID-19. (2021). Bianchi, Sergio ; Frezza, Massimiliano ; Pianese, Augusto. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320316652.

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2021One model is not enough: Heterogeneity in cryptocurrencies’ multifractal profiles. (2021). Fernandez Bariviera, Aurelio. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320303925.

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2022Managing downside risk of low-risk anomaly portfolios. (2022). Kim, Saejoon. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321003883.

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2021Analytic moments for GJR-GARCH (1, 1) processes. (2021). Stanescu, Silvia ; Lazar, Emese ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:105-124.

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2022Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph
2021Learning sequential option hedging models from market data. (2021). Li, Yuying ; Coleman, Thomas F ; Nian, KE. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002338.

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2022Information networks in the financial sector and systemic risk. (2022). Rush, Stephen ; Borochin, Paul. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002788.

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2022Dynamic comovement among banks, systemic risk, and the macroeconomy. (2022). Kishor, N ; Ma, Jun ; Kapinos, Pavel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426620301606.

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2021An agent-based model of intra-day financial markets dynamics. (2021). Napoletano, Mauro ; Staccioli, Jacopo. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:182:y:2021:i:c:p:331-348.

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2022When is coarseness not a curse? Comparative statics of the coarse random utility model. (2022). Mariotti, Marco ; Manzini, Paola ; Horan, Sean. In: Journal of Economic Theory. RePEc:eee:jetheo:v:202:y:2022:i:c:s0022053122000357.

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2022Dimension-wise scaled normal mixtures with application to finance and biometry. (2022). Bagnato, Luca ; Punzo, Antonio. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:191:y:2022:i:c:s0047259x22000434.

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2021The day-of-the-week-effect on the volatility of commodities. (2021). Idilbi-Bayaa, Yasmeen ; Qadan, Mahmoud. In: Resources Policy. RePEc:eee:jrpoli:v:71:y:2021:i:c:s0301420720310084.

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2021What factors are associated with stock price jumps in high frequency?. (2021). Tsai, Shih-Chuan ; Ahn, Yongkil. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x21001098.

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2021Information bias and its spillover effect on return volatility: A study on stock markets in the Asia-Pacific region. (2021). Parad, Atul ; Nanda, Swagatika ; Panda, Pradiptarathi. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:69:y:2021:i:c:s0927538x21001608.

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2021Combination of transition probability distribution and stable Lorentz distribution in stock markets. (2021). Chang, Chuo ; Liu, Chang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:565:y:2021:i:c:s0378437120308529.

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2021The use of scaling properties to detect relevant changes in financial time series: A new visual warning tool. (2021). di Matteo, T ; Magafas, L ; Brandi, Giuseppe ; Antoniades, I P. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:565:y:2021:i:c:s0378437120308591.

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2021A modified Multifractal Detrended Fluctuation Analysis (MFDFA) approach for multifractal analysis of precipitation. (2021). Sosa-Gomez, Guillermo ; Horta-Rangel, Francisco Antonio ; Rodriguez, Israel Quiros ; Segovia-Dominguez, Ignacio ; Morales, Jorge Luis. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:565:y:2021:i:c:s0378437120309092.

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2021Trends, reversion, and critical phenomena in financial markets. (2021). Schmidhuber, Christof. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:566:y:2021:i:c:s0378437120309407.

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2021Dynamics of the price behavior in stock markets: A statistical physics approach. (2021). Desgranges, Gabriel ; Diep, Hung T. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:570:y:2021:i:c:s0378437121000856.

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2021Dynamical characteristics of global stock markets based on time dependent Tsallis non-extensive statistics and generalized Hurst exponents. (2021). Pavlos, E G ; Karakatsanis, L P ; Antoniades, I P. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:578:y:2021:i:c:s0378437121003940.

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2021How COVID-19 has affected stock market persistence? Evidence from the G7’s. (2021). Bentes, Sonia R. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:581:y:2021:i:c:s0378437121004830.

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2022A three-state opinion formation model for financial markets. (2022). Stanley, Eugene H ; Nelson, Kenric P ; Wang, Chao ; Zubillaga, Bernardo J. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:588:y:2022:i:c:s0378437121008001.

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2022Applying Hurst Exponent in pair trading strategies on Nasdaq 100 index. (2022). Lepaczuk, Robert ; Bui, Quynh. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:592:y:2022:i:c:s037843712100964x.

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2022Financial markets and the phase transition between water and steam. (2022). Schmidhuber, Christof. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:592:y:2022:i:c:s0378437122000152.

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2022Testing Long memory in exchange rates and its implications for the adaptive market hypothesis. (2022). Frommel, Michael ; Asif, Raheel. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:593:y:2022:i:c:s0378437122000140.

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2022Heavy tailed distributions in closing auctions. (2022). de Vilder, R ; Kleijn, B ; Derksen, M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:593:y:2022:i:c:s0378437122000620.

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2022Asymmetric multifractality in China’s energy market based on improved asymmetric multifractal cross-correlation analysis. (2022). Zhang, Hongwei ; Yao, Shanshan ; Yu, Zhuling ; Shi, Fengyuan ; Guo, Yaoqi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:594:y:2022:i:c:s0378437122000966.

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2022Covid-19 impact on cryptocurrencies: Evidence from a wavelet-based Hurst exponent. (2022). Fernandez Bariviera, Aurelio ; Vampa, Victoria ; Pastor, Veronica E ; Arouxet, Belen M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:596:y:2022:i:c:s0378437122001765.

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2022From rough to multifractal volatility: The log S-fBM model. (2022). Bacry, Emmanuel ; Muzy, Jean-Franois ; Wu, Peng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:604:y:2022:i:c:s0378437122005866.

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2021Features of overreactions in the cryptocurrency market. (2021). Czudaj, Robert ; Borgards, Oliver. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:31-48.

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2021Using multivariate stochastic dominance to enhance portfolio selection and warn of financial crises. (2021). Kouaissah, Noureddine. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:480-493.

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2022Revisiting the accuracy of standard VaR methods for risk assessment: Using the Copula–EVT multidimensional approach for stock markets in the MENA region. (2022). Hedhli, Amel ; Chebbi, Ali. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:84:y:2022:i:c:p:430-445.

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2022A cryptocurrency empirical study focused on evaluating their distribution functions. (2022). Muela, Sonia Benito ; Arguedas-Sanz, Raquel ; Lopez-Martin, Carmen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:79:y:2022:i:c:p:387-407.

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2021Random variate generation for exponential and gamma tilted stable distributions. (2021). Dassios, Angelos ; Zhao, Hongbiao ; Qu, Yan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:108593.

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More than 100 citations found, this list is not complete...

Works by Benoît B. Mandelbrot:


YearTitleTypeCited
1997A Multifractal Model of Asset Returns In: Cowles Foundation Discussion Papers.
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paper103
1999A Multifractal Model of Assets Returns.(1999) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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This paper has another version. Agregated cites: 103
paper
2011A Multifractal Model of Asset Returns.(2011) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 103
paper
1997Large Deviations and the Distribution of Price Changes In: Cowles Foundation Discussion Papers.
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paper24
1997Multifractality of Deutschemark/US Dollar Exchange Rates In: Cowles Foundation Discussion Papers.
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paper36
1999Survey of Multifractality in Finance In: Cowles Foundation Discussion Papers.
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paper4
2000Cartoons of the Variation of Financial Prices and of Brownian Motions in Multifractal Time In: Cowles Foundation Discussion Papers.
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paper1
2001Multifractal Products of Cylindrical Rules In: Cowles Foundation Discussion Papers.
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paper0
1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices: Comment. In: Econometrica.
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article14
1990New “anomalous” multiplicative multifractals: Left sided ƒ(?) and the modelling of DLA In: Physica A: Statistical Mechanics and its Applications.
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article2
1991Multifractality of the harmonic measure on fractal aggregates, and extended self-similarity In: Physica A: Statistical Mechanics and its Applications.
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article0
1991Fractal aggregates, and the current lines of their electrostatic potentials In: Physica A: Statistical Mechanics and its Applications.
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article0
1992Self-similarity of harmonic measure on DLA In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
article3
1992Plane DLA is not self-similar; is it a fractal that becomes increasingly compact as it grows? In: Physica A: Statistical Mechanics and its Applications.
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article0
1999Renormalization and fixed points in finance, since 1962 In: Physica A: Statistical Mechanics and its Applications.
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article3
1995A class of micropulses and antipersistent fractional Brownian motion In: Stochastic Processes and their Applications.
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article25
1996Alternative micropulses and fractional Brownian motion In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article12
2011Large Deviation Theory and the Distribution of Price Changes In: Working Papers.
[Citation analysis]
paper0
2011Multifractality of US Dollar/Deutsche Mark Exchange Rates In: Working Papers.
[Citation analysis]
paper0
1969Long-Run Linearity, Locally Gaussian Process, H-Spectra and Infinite Variances. In: International Economic Review.
[Full Text][Citation analysis]
article19
1964Random Walks, Fire Damage Amount and Other Paretian Risk Phenomena In: Operations Research.
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article1
1967On the Distribution of Stock Price Differences In: Operations Research.
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article124
2005Parallel cartoons of fractal models of finance In: Annals of Finance.
[Full Text][Citation analysis]
article4
2005The inescapable need for fractal tools in finance In: Annals of Finance.
[Full Text][Citation analysis]
article1
1972Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis In: NBER Chapters.
[Full Text][Citation analysis]
chapter148
1962Paretian Distributions and Income Maximization In: The Quarterly Journal of Economics.
[Full Text][Citation analysis]
article29
2003Fractal geometry of critical Potts clusters In: The European Physical Journal B: Condensed Matter and Complex Systems.
[Full Text][Citation analysis]
article1
2001Scaling in financial prices: I. Tails and dependence In: Quantitative Finance.
[Full Text][Citation analysis]
article17
2001Scaling in financial prices: II. Multifractals and the star equation In: Quantitative Finance.
[Full Text][Citation analysis]
article10
2001Scaling in financial prices: III. Cartoon Brownian motions in multifractal time In: Quantitative Finance.
[Full Text][Citation analysis]
article11
2001Stochastic volatility, power laws and long memory In: Quantitative Finance.
[Full Text][Citation analysis]
article21
2001Scaling in financial prices: IV. Multifractal concentration In: Quantitative Finance.
[Full Text][Citation analysis]
article8
1971When Can Price Be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models. In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
article146
1963The Variation of Certain Speculative Prices In: The Journal of Business.
[Full Text][Citation analysis]
article1752
2015The Variation of Certain Speculative Prices.(2015) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1752
chapter
1965Forecasts of Future Prices, Unbiased Markets, and Martingale Models In: The Journal of Business.
[Full Text][Citation analysis]
article6
1967The Variation of Some Other Speculative Prices In: The Journal of Business.
[Full Text][Citation analysis]
article117
1972Correction of an Error in The Variation of Certain Speculative Prices (1963). In: The Journal of Business.
[Full Text][Citation analysis]
article2
1963New Methods in Statistical Economics In: Journal of Political Economy.
[Full Text][Citation analysis]
article168

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