Benoît B. Mandelbrot : Citation Profile


Deceased: 2010-10-14

12

H index

15

i10 index

2028

Citations

RESEARCH PRODUCTION:

27

Articles

10

Papers

2

Chapters

RESEARCH ACTIVITY:

   48 years (1962 - 2010). See details.
   Cites by year: 42
   Journals where Benoît B. Mandelbrot has often published
   Relations with other researchers
   Recent citing documents: 234.    Total self citations: 4 (0.2 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pma1336
   Updated: 2019-10-15    RAS profile:    
   Missing citations? Add them    Incorrect content? Let us know

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:

Lux, Thomas (24)

Fabozzi, Frank (24)

Los, Cornelis (20)

Climent Hernández, José (20)

Gil-Alana, Luis (19)

Onali, Enrico (15)

Gencay, Ramazan (15)

Farmer, J. (14)

de Vries, Casper (14)

Bollerslev, Tim (14)

Kaizoji, Taisei (13)

Cites to:

Ghysels, Eric (11)

Drost, Feike C. (8)

gourieroux, christian (8)

Jasiak, Joann (8)

Fisher, Adlai (6)

Calvet, Laurent (6)

Bollerslev, Tim (6)

Baillie, Richard (5)

Engle, Robert (4)

Clark, Peter (3)

Renault, Eric (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
Operations Research2
Annals of Finance2
Stochastic Processes and their Applications2

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 (2018 and 2017)


YearTitle of citing document
2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

Full description at Econpapers || Download paper

2018Volatility Spillover among Equity Indices and Crude Oil Prices: Evidence from Islamic Markets امتداد التقلب بين مؤشرات الأسهم وأسعار النفط الخام: شواهد . (2018). Arrak, Islem ; Mansour, Walid ; Majdoub, Jihed. In: Articles published in the Journal of King Abdulaziz University: Islamic Economics.. RePEc:abd:kauiea:v:31:y:2018:i:1:no:2:p:27-45.

Full description at Econpapers || Download paper

2018Volatility Spillover among Equity Indices and Crude Oil Prices: Evidence from Islamic Markets امتداد التقلب بين مؤشرات الأسهم وأسعار النفط الخام: شواهد . (2018). Arrak, Islem ; Mansour, Walid ; Majdoub, Jihed. In: Articles published in the Journal of King Abdulaziz University: Islamic Economics.. RePEc:abd:kauiea:v:31:y:2018:i:1:p:27-45.

Full description at Econpapers || Download paper

2017Price Volatility Modelling – Wheat: GARCH Model Application. (2017). Ermak, M ; Maitah, M ; Malec, K. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:276061.

Full description at Econpapers || Download paper

2019Wavelet Leader and Multifractal Detrended Fluctuation Analysis of Market Efficiency: Evidence from WAEMU Market Index. (2019). Mendy, Pierre ; Diallo, Oumou Kalsoum. In: World Journal of Applied Economics. RePEc:ana:journl:v:5:y:2019:i:1:p:1-23.

Full description at Econpapers || Download paper

2018Relativistic Black-Scholes model. (2018). Trzetrzelewski, Maciej . In: Papers. RePEc:arx:papers:1307.5122.

Full description at Econpapers || Download paper

2017Evidence of Self-Organization in Time Series of Capital Markets. (2017). , Leopoldo ; Garc, Alba Lucero ; Morales-Matamoros, Oswaldo ; Soto-Campos, Carlos Arturo . In: Papers. RePEc:arx:papers:1604.03996.

Full description at Econpapers || Download paper

2017Non-Gaussian analytic option pricing: a closed formula for the L\evy-stable model. (2017). Aguilar, Jean-Philippe ; Coste, Cyril . In: Papers. RePEc:arx:papers:1609.00987.

Full description at Econpapers || Download paper

2017Topological Data Analysis of Financial Time Series: Landscapes of Crashes. (2017). Katz, Yuri ; Gidea, Marian . In: Papers. RePEc:arx:papers:1703.04385.

Full description at Econpapers || Download paper

2017The Wandering of Corn. (2017). Salov, Valerii . In: Papers. RePEc:arx:papers:1704.01179.

Full description at Econpapers || Download paper

2017Market Crashes as Critical Phenomena? Explanation, Idealization, and Universality in Econophysics. (2017). Jhun, Jennifer ; Weatherall, James Owen ; Palacios, Patricia . In: Papers. RePEc:arx:papers:1704.02392.

Full description at Econpapers || Download paper

2017Parameter estimation for stable distributions with application to commodity futures log returns. (2017). Kateregga, Michael ; Taylor, David ; Mataramvura, Sure . In: Papers. RePEc:arx:papers:1706.09756.

Full description at Econpapers || Download paper

2017The microstructure of high frequency markets. (2017). Carmona, Rene ; Webster, Kevin . In: Papers. RePEc:arx:papers:1709.02015.

Full description at Econpapers || Download paper

2017A Topological Approach to Scaling in Financial Data. (2017). de Carufel, Jean ; Britton, Paul ; Stieber, Michael ; Brooks, Martin. In: Papers. RePEc:arx:papers:1710.08860.

Full description at Econpapers || Download paper

2018Bitcoin Average Dormancy: A Measure of Turnover and Trading Activity. (2018). Smith, Reginald D. In: Papers. RePEc:arx:papers:1712.10287.

Full description at Econpapers || Download paper

2018Theoretical and empirical analysis of trading activity. (2018). Pohl, Mathias ; Tangpi, Ludovic ; Schachermayer, Walter ; Ristig, Alexander . In: Papers. RePEc:arx:papers:1803.04892.

Full description at Econpapers || Download paper

2018Power-law cross-correlations: Issues, solutions and future challenges. (2018). Krištoufek, Ladislav ; Kristoufek, Ladislav. In: Papers. RePEc:arx:papers:1806.01616.

Full description at Econpapers || Download paper

2019Option Pricing with Heavy-Tailed Distributions of Logarithmic Returns. (2018). Basnarkov, Lasko ; Kocarev, Ljupco ; Utkovski, Zoran ; Stojkoski, Viktor. In: Papers. RePEc:arx:papers:1807.01756.

Full description at Econpapers || Download paper

2018A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations. (2018). Mabitsela, Lesedi ; Kufakunesu, Rodwell ; Guambe, Calisto. In: Papers. RePEc:arx:papers:1808.04611.

Full description at Econpapers || Download paper

2018Analytic Moments for GARCH Processes. (2018). Alexander, Carol ; Stanescu, Silvia ; Lazar, Emese. In: Papers. RePEc:arx:papers:1808.09666.

Full description at Econpapers || Download paper

2018Multiplicative random cascades with additional stochastic process in financial markets. (2018). Maskawa, Jun-ichi ; Murai, Joshin ; Kuroda, Koji . In: Papers. RePEc:arx:papers:1809.00820.

Full description at Econpapers || Download paper

2018Superstatistics with cut-off tails for financial time series. (2018). Uchiyama, Yusuke ; Kadoya, Takanori. In: Papers. RePEc:arx:papers:1809.04775.

Full description at Econpapers || Download paper

2019Tail probabilities for short-term returns on stocks. (2018). Rasmussen, Henrik O ; Wilmott, Paul. In: Papers. RePEc:arx:papers:1809.08416.

Full description at Econpapers || Download paper

2018Multivariate stable distributions and their applications for modelling cryptocurrency-returns. (2018). Majoros, Szabolcs ; Zempl, Andr'As. In: Papers. RePEc:arx:papers:1810.09521.

Full description at Econpapers || Download paper

2018Price Discovery and the Accuracy of Consolidated Data Feeds in the U.S. Equity Markets. (2018). Tivnan, Brian F ; Veneman, Jason ; McMahon, Matthew T ; Matthew, ; Brady, Shaun M ; Burke, Carl D ; Bergen-Hill, Tobin A ; Thompson, James R ; Slater, David. In: Papers. RePEc:arx:papers:1810.11091.

Full description at Econpapers || Download paper

2018Quantification of market efficiency based on informational-entropy. (2018). Rothenstein, Roland . In: Papers. RePEc:arx:papers:1812.02371.

Full description at Econpapers || Download paper

2019Dynamic Tail Inference with Log-Laplace Volatility. (2019). Chavez, Gordon V. In: Papers. RePEc:arx:papers:1901.02419.

Full description at Econpapers || Download paper

2019Econophysics of Asset Price, Return and Multiple Expectations. (2019). Olkhov, Victor. In: Papers. RePEc:arx:papers:1901.05024.

Full description at Econpapers || Download paper

2019Correlation Patterns in Foreign Exchange Markets. (2019). Kocarev, Ljupco ; Utkovski, Zoran ; Stojkoski, Viktor ; Basnarkov, Lasko. In: Papers. RePEc:arx:papers:1902.06483.

Full description at Econpapers || Download paper

2019Conditional Density Estimation with Neural Networks: Best Practices and Benchmarks. (2019). Ulrich, Maxim ; Walther, Simon ; Ferreira, Fabio ; Rothfuss, Jonas. In: Papers. RePEc:arx:papers:1903.00954.

Full description at Econpapers || Download paper

2019Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market. (2019). Scalas, Enrico ; Kaizoji, Taisei ; Eom, Cheoljun. In: Papers. RePEc:arx:papers:1904.02567.

Full description at Econpapers || Download paper

2019Blindfolded monkeys or financial analysts: who is worth your money?. (2019). Torrisi, Benedetto ; Pernagallo, Giuseppe. In: Papers. RePEc:arx:papers:1904.03488.

Full description at Econpapers || Download paper

2019Rough volatility of Bitcoin. (2019). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:1904.12346.

Full description at Econpapers || Download paper

2019Relevant Stylized Facts About Bitcoin: Fluctuations, First Return Probability, and Natural Phenomena. (2019). da Silva, R ; da Cunha, C R. In: Papers. RePEc:arx:papers:1905.03211.

Full description at Econpapers || Download paper

2019Multiple Subordinated Modeling of Asset Returns. (2019). Fabozzi, Frank ; Rachev, Svetlozar T ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:1907.12600.

Full description at Econpapers || Download paper

2019Dynamic Dependence Modeling in financial time series. (2019). Aivaliotis, Georgios ; Liu, Haiyan ; Dou, Yali. In: Papers. RePEc:arx:papers:1908.05130.

Full description at Econpapers || Download paper

2019Tail Index Estimation: Quantile-Driven Threshold Selection. (2019). de Haan, Laurens ; de Vries, Casper ; Danielsson, Jon ; Ergun, Lerby. In: Staff Working Papers. RePEc:bca:bocawp:19-28.

Full description at Econpapers || Download paper

2018Return Volatility and Macroeconomic Factors: A Comparison of US and Pakistani Firms. (2018). Jan, Sharif Ullah ; Khan, Hashim . In: Business & Economic Review. RePEc:bec:imsber:v:10:y:2018:i:2:p:1-28.

Full description at Econpapers || Download paper

2017Normality of stock returns with event time clocks. (2017). Ling, Xin . In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i::p:277-298.

Full description at Econpapers || Download paper

2018THE FUNDAMENTAL CONTRADICTION OF CAPITALISM REVISITED. (2018). Gomez, Marcos ; Parro, Francisco. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:4:p:381-399.

Full description at Econpapers || Download paper

2018Market efficiency as a revolution in data analysis. (2018). Polillo, Simone. In: Economic Anthropology. RePEc:bla:ecanth:v:5:y:2018:i:2:p:198-209.

Full description at Econpapers || Download paper

2019WINNING IN PROFESSIONAL TEAM SPORTS: HISTORICAL MOMENTS. (2019). Lee, Young Hoon ; Fort, Rodney ; Jang, Hayley . In: Economic Inquiry. RePEc:bla:ecinqu:v:57:y:2019:i:1:p:103-120.

Full description at Econpapers || Download paper

2017IMPORTANCE OF THE FUND MANAGEMENT COMPANY IN THE PERFORMANCE OF SOCIALLY RESPONSIBLE MUTUAL FUNDS. (2017). Clark, Ephraim ; Deshmukh, Nitin ; Belghitar, Yacine. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:3:p:349-367.

Full description at Econpapers || Download paper

2017Unit Root Tests and Heavy-Tailed Innovations. (2017). Taylor, Robert ; Rodrigues, Paulo ; Robert, A M ; Georgiev, Iliyan ; Zorita, Eduardo ; Perron, Pierre. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:5:p:733-768.

Full description at Econpapers || Download paper

2017Drift in Transaction-Level Asset Price Models. (2017). Perron, Pierre ; Soulier, Philippe ; Hurvich, Clifford ; Cao, Wen ; Zorita, Eduardo . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:5:p:769-790.

Full description at Econpapers || Download paper

2017How Has the Behavior of Cross-Market Correlations Altered During Financial and Debt Crises?. (2017). demiralay, sercan ; Ulusoy, Veysel. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:6:p:765-794.

Full description at Econpapers || Download paper

2018DO INVESTORS MIMIC TRADING STRATEGIES OF FOREIGN INVESTORS OR THE MARKET: IMPLICATIONS FOR CAPITAL ASSET PRICING. (2018). Chamil, Senarathne W ; Wei, Jianguo. In: Studies in Business and Economics. RePEc:blg:journl:v:13:y:2018:i:3:p:171-205.

Full description at Econpapers || Download paper

2017Central bank sentiment and policy expectations. (2017). Labondance, Fabien ; Hubert, Paul. In: Bank of England working papers. RePEc:boe:boeewp:0648.

Full description at Econpapers || Download paper

2017Long Memory and Data Frequency in Financial Markets. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6396.

Full description at Econpapers || Download paper

2018Heterogeneous Workers, Trade, and Migration. (2018). Heiland, Inga ; Kohler, Wilhelm. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7355.

Full description at Econpapers || Download paper

2018Trade Clustering and Power Laws in Financial Markets. (2018). Nirei, Makoto ; Watanabe, Tsutomu ; Stachurski, John. In: CARF F-Series. RePEc:cfi:fseres:cf450.

Full description at Econpapers || Download paper

2017La volatilidad del tipo de cambio paralelo en Venezuela 2005-2015. (2017). Castillo, Laura Daniela ; Ramoni-Perazzi, Josefa . In: REVISTA APUNTES DEL CENES. RePEc:col:000152:015363.

Full description at Econpapers || Download paper

2017Robust Estimation of beta and the hedging ratio in Stock Index Futures In the Integrated Latin American Market. (2017). Gutierrez, Juan Carlos . In: REVISTA ECOS DE ECONOMÍA. RePEc:col:000442:015652.

Full description at Econpapers || Download paper

2017Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data. (2017). Wilfling, Bernd ; Lau, Chi Keung ; GUPTA, RANGAN ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:6117.

Full description at Econpapers || Download paper

2019Long Memory Conditional Heteroscedasticity in Count Data. (2019). Stapper, Manuel ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:8219.

Full description at Econpapers || Download paper

2017Long Memory and Data Frequency in Financial Markets. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1647.

Full description at Econpapers || Download paper

2017On Oil-US Exchange Rate Volatility Relationships: an Intradaily Analysis. (2017). JAWADI, Fredj ; ben ameur, hachmi ; Cheffou, Abdoulkarim Idi ; Louhichi, Wael. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-11.

Full description at Econpapers || Download paper

2019Does Chaos Matter in Financial Time Series Analysis?. (2019). Parziale, Anna ; Bruno, Bruna ; Faggini, Marisa. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-04-3.

Full description at Econpapers || Download paper

2017Misspecification in event studies. (2017). Marks, Joseph M ; Musumeci, Jim . In: Journal of Corporate Finance. RePEc:eee:corfin:v:45:y:2017:i:c:p:333-341.

Full description at Econpapers || Download paper

2017An extreme value analysis of the last century crises across industries in the U.S. economy. (2017). Trapin, Luca ; Riccaboni, Massimo ; Bee, Marco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:81:y:2017:i:c:p:65-78.

Full description at Econpapers || Download paper

2018Asset prices and wealth dynamics in a financial market with random demand shocks. (2018). Dindo, Pietro ; Staccioli, Jacopo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:95:y:2018:i:c:p:187-210.

Full description at Econpapers || Download paper

2017Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises. (2017). Leung, Henry ; Schroeder, Florian ; Schiereck, Dirk. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:169-180.

Full description at Econpapers || Download paper

2017A conditional autoregressive range model with gamma distribution for financial volatility modelling. (2017). Xie, Haibin ; Wu, Xinyu. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:349-356.

Full description at Econpapers || Download paper

2018A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction. (2018). Bao, Te ; Li, Hao ; Diks, Cees. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:611-621.

Full description at Econpapers || Download paper

2019Modeling and forecasting return jumps using realized variation measures. (2019). Liu, YI ; Zhang, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:63-80.

Full description at Econpapers || Download paper

2017An intertemporal CAPM with higher-order moments. (2017). Jang, Jeewon ; Kang, Jangkoo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:314-337.

Full description at Econpapers || Download paper

2018Which information matters to market risk spreading in Brazil? Volatility transmission modelling using MGARCH-BEKK, DCC, t-Copulas. (2018). de Oliveira, Felipe A ; Da, Cassio ; de Jesus, Diego P ; Maia, Sinezio F. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:83-100.

Full description at Econpapers || Download paper

2017The inefficiency of Bitcoin revisited: A dynamic approach. (2017). Fernandez Bariviera, Aurelio. In: Economics Letters. RePEc:eee:ecolet:v:161:y:2017:i:c:p:1-4.

Full description at Econpapers || Download paper

2018Booms, busts and heavy-tails: The story of Bitcoin and cryptocurrency markets?. (2018). Fry, John. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:225-229.

Full description at Econpapers || Download paper

2017Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models. (2017). Yang, Yaxing ; Ling, Shiqing. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:368-381.

Full description at Econpapers || Download paper

2018Estimating stable latent factor models by indirect inference. (2018). Halbleib, Roxana ; Calzolari, Giorgio. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:280-301.

Full description at Econpapers || Download paper

2019Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction. (2019). Fan, Jianqing ; Kim, Donggyu. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:395-417.

Full description at Econpapers || Download paper

2017Asymmetric stable Paretian distribution testing. (2017). Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:19-39.

Full description at Econpapers || Download paper

2017Properties and comparison of risk capital allocation methods. (2017). Csóka, Péter ; Balog, Dóra ; Bátyi, Tamás ; Pinter, Miklos ; Csoka, Peter ; Batyi, Tamas Laszlo . In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:2:p:614-625.

Full description at Econpapers || Download paper

2017Using parametric classification trees for model selection with applications to financial risk management. (2017). Adcock, C J ; Meade, N. In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:2:p:746-765.

Full description at Econpapers || Download paper

2018Naive versus optimal diversification: Tail risk and performance. (2018). Hwang, In Chang ; Xu, Simon ; In, Francis. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:1:p:372-388.

Full description at Econpapers || Download paper

2019Black–Litterman model for continuous distributions. (2019). Palczewski, Andrzej. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:2:p:708-720.

Full description at Econpapers || Download paper

2019One country, two systems? The heavy-tailedness of Chinese A- and H- share markets. (2019). Ibragimov, Rustam ; Chen, Zhimin. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:115-141.

Full description at Econpapers || Download paper

2018The “Cubic Law of the Stock Returns” in emerging markets. (2018). Gu, Zhiye ; Ibragimov, Rustam. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:182-190.

Full description at Econpapers || Download paper

2018Relative spread and price discovery. (2018). Aldrich, Eric M ; Lee, Seung . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:81-98.

Full description at Econpapers || Download paper

2018Time-varying volatility and the power law distribution of stock returns. (2018). Warusawitharana, Missaka. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:123-141.

Full description at Econpapers || Download paper

2018Crude oil risk forecasting: New evidence from multiscale analysis approach. (2018). He, Kaijian ; Liu, Jia ; Zou, Yingchao . In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:574-583.

Full description at Econpapers || Download paper

2017Can profitability through momentum strategies be enhanced applying a range to standard deviation filter?. (2017). Chattopadhyay, Manojit ; Mitra, Subrata Kumar ; Kannadhasan, M ; Bawa, Jaslene ; Goyal, Vinay. In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:269-273.

Full description at Econpapers || Download paper

2018Time-varying long-term memory in Bitcoin market. (2018). Jiang, Yonghong ; Ruan, Weihua ; Nie, HE. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:280-284.

Full description at Econpapers || Download paper

2017Hedge fund return, volatility asymmetry, and systemic effects: A higher-moment factor-EGARCH model. (2017). Elyasiani, Elyas ; Mansur, Iqbal. In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:49-65.

Full description at Econpapers || Download paper

2018Neurofinance versus the efficient markets hypothesis. (2018). Ardalan, Kavous. In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:170-176.

Full description at Econpapers || Download paper

2018A ‘power law’ based method to reduce size-related bias in indicators of knowledge performance: An application to university research assessment. (2018). Calabrese, Armando ; Giuffrida, Stefania ; di Pillo, Francesca ; Costa, Roberta ; Capece, Guendalina . In: Journal of Informetrics. RePEc:eee:infome:v:12:y:2018:i:4:p:1263-1281.

Full description at Econpapers || Download paper

2018Using expected shortfall for credit risk regulation. (2018). Osmundsen, Kjartan Kloster . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:57:y:2018:i:c:p:80-93.

Full description at Econpapers || Download paper

2019Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading. (2019). Napoletano, Mauro ; Leal, Sandrine Jacob. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:157:y:2019:i:c:p:15-41.

Full description at Econpapers || Download paper

2017A tale of two tails: Explaining extreme events in financialized agricultural markets. (2017). Algieri, Bernardina ; Koch, Nicolas ; Kalkuhl, Matthias. In: Food Policy. RePEc:eee:jfpoli:v:69:y:2017:i:c:p:256-269.

Full description at Econpapers || Download paper

2018Exploring the Elliott Wave Principle to interpret metal commodity price cycles. (2018). Maraon, Matias ; Kumral, Mustafa. In: Resources Policy. RePEc:eee:jrpoli:v:59:y:2018:i:c:p:125-138.

Full description at Econpapers || Download paper

2018What drives the demand for information in the commodity market?. (2018). Aharon, David Y ; Qadan, Mahmoud. In: Resources Policy. RePEc:eee:jrpoli:v:59:y:2018:i:c:p:532-543.

Full description at Econpapers || Download paper

2017Can trade opportunities and returns be generated in a trend persistent series? Evidence from global indices. (2017). Mitra, S K ; Bawa, Jaslene . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:469:y:2017:i:c:p:124-135.

Full description at Econpapers || Download paper

2017Econophysics: Past and present. (2017). de Area, Eder Johnson ; da Silva, Marcus Fernandes. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:473:y:2017:i:c:p:251-261.

Full description at Econpapers || Download paper

2017Systematic inference of the long-range dependence and heavy-tail distribution parameters of ARFIMA models. (2017). Christian, ; Gramacy, Robert B ; Watkins, Nicholas W ; Tindale, Elizabeth ; Graves, Timothy . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:473:y:2017:i:c:p:60-71.

Full description at Econpapers || Download paper

2017Simulation of sovereign CDS market based on interaction between market participant. (2017). Ko, Bonggyun ; Kim, Kyungwon . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:479:y:2017:i:c:p:324-340.

Full description at Econpapers || Download paper

2017Emergent organization in a model market. (2017). Yadav, Avinash Chand ; Ramaswamy, Ramakrishna ; Manchanda, Kaustubh . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:118-126.

Full description at Econpapers || Download paper

2017Bivariate sub-Gaussian model for stock index returns. (2017). Jaboska-Sabuka, Matylda ; Wyomaska, Agnieszka ; Teuerle, Marek . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:486:y:2017:i:c:p:628-637.

Full description at Econpapers || Download paper

2018Characterization of autoregressive processes using entropic quantifiers. (2018). Redelico, Francisco O ; Traversaro, Francisco. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:13-23.

Full description at Econpapers || Download paper

2018Stochastic space interval as a link between quantum randomness and macroscopic randomness?. (2018). Haug, Espen Gaarder ; Hoff, Harald. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:493:y:2018:i:c:p:400-409.

Full description at Econpapers || Download paper

2018The complexity of the HANG SENG Index and its constituencies during the 2007–2008 Great Recession. (2018). Argyroudis, G ; Siokis, F. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:495:y:2018:i:c:p:463-474.

Full description at Econpapers || Download paper

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.
[Full Text][Citation analysis]
paper79
1999A Multifractal Model of Assets Returns.(1999) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 79
paper
2011A Multifractal Model of Asset Returns.(2011) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 79
paper
1997Large Deviations and the Distribution of Price Changes In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
paper20
1997Multifractality of Deutschemark/US Dollar Exchange Rates In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
paper31
1999Survey of Multifractality in Finance In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
paper4
2000Cartoons of the Variation of Financial Prices and of Brownian Motions in Multifractal Time In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
paper1
2001Multifractal Products of Cylindrical Rules In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
paper0
1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices: Comment. In: Econometrica.
[Full Text][Citation analysis]
article12
1990New “anomalous” multiplicative multifractals: Left sided ƒ(α) and the modelling of DLA In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
article2
1991Multifractality of the harmonic measure on fractal aggregates, and extended self-similarity In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
article0
1991Fractal aggregates, and the current lines of their electrostatic potentials In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
article0
1992Self-similarity of harmonic measure on DLA In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
article1
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.
[Full Text][Citation analysis]
article0
1999Renormalization and fixed points in finance, since 1962 In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
article3
1995A class of micropulses and antipersistent fractional Brownian motion In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article18
1996Alternative micropulses and fractional Brownian motion In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article4
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]
article17
1964Random Walks, Fire Damage Amount and Other Paretian Risk Phenomena In: Operations Research.
[Full Text][Citation analysis]
article0
1967On the Distribution of Stock Price Differences In: Operations Research.
[Full Text][Citation analysis]
article41
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]
chapter93
1962Paretian Distributions and Income Maximization In: The Quarterly Journal of Economics.
[Full Text][Citation analysis]
article12
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]
article10
2001Scaling in financial prices: II. Multifractals and the star equation In: Quantitative Finance.
[Full Text][Citation analysis]
article5
2001Scaling in financial prices: III. Cartoon Brownian motions in multifractal time In: Quantitative Finance.
[Full Text][Citation analysis]
article9
2001Stochastic volatility, power laws and long memory In: Quantitative Finance.
[Full Text][Citation analysis]
article19
2001Scaling in financial prices: IV. Multifractal concentration In: Quantitative Finance.
[Full Text][Citation analysis]
article5
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]
article97
1963The Variation of Certain Speculative Prices In: The Journal of Business.
[Full Text][Citation analysis]
article1331
2015The Variation of Certain Speculative Prices.(2015) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1331
chapter
1965Forecasts of Future Prices, Unbiased Markets, and Martingale Models In: The Journal of Business.
[Full Text][Citation analysis]
article5
1967The Variation of Some Other Speculative Prices In: The Journal of Business.
[Full Text][Citation analysis]
article83
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]
article118

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2019. Contact: CitEc Team