26
H index
43
i10 index
3267
Citations
| 26 H index 43 i10 index 3267 Citations RESEARCH PRODUCTION: 56 Articles 57 Papers 2 Books RESEARCH ACTIVITY: 28 years (1994 - 2022). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pma1890 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Rosario Nunzio Mantegna. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Physica A: Statistical Mechanics and its Applications | 17 |
Quantitative Finance | 11 |
PLOS ONE | 8 |
The European Physical Journal B: Condensed Matter and Complex Systems | 7 |
Journal of Economic Dynamics and Control | 3 |
Journal of Air Transport Management | 2 |
Working Papers Series with more than one paper published | # docs |
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Papers / arXiv.org | 50 |
Year | Title of citing document | |
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2023 | Análisis de la Topología de las relaciones entre Bancos y Firmas mediante Redes Complejas: comparación del caso de Argentina e Italia. (2023). de la Fuente, Diaz. In: Asociación Argentina de Economía Política: Working Papers. RePEc:aep:anales:4647. Full description at Econpapers || Download paper | |
2023 | Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning. (2020). Challet, Damien ; Bongiorno, Christian. In: Papers. RePEc:arx:papers:2005.08703. Full description at Econpapers || Download paper | |
2023 | Deep Reinforcement Trading with Predictable Returns. (2021). Brini, Alessio ; Tantari, Daniele. In: Papers. RePEc:arx:papers:2104.14683. Full description at Econpapers || Download paper | |
2023 | Price Impact of Order Flow Imbalance: Multi-level, Cross-sectional and Forecasting. (2021). Zhang, Chao ; Cucuringu, Mihai ; Cont, Rama. In: Papers. RePEc:arx:papers:2112.13213. Full description at Econpapers || Download paper | |
2023 | Price impact in equity auctions: zero, then linear. (2023). Challet, Damien ; Toke, Ioane Muni ; Salek, Mohammed. In: Papers. RePEc:arx:papers:2301.05677. Full description at Econpapers || Download paper | |
2023 | Towards Evology: a Market Ecology Agent-Based Model of US Equity Mutual Funds II. (2023). Farmer, Doyne J ; Vie, Aymeric. In: Papers. RePEc:arx:papers:2302.01216. Full description at Econpapers || Download paper | |
2023 | A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208. Full description at Econpapers || Download paper | |
2024 | Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2023). Cucuringu, Mihai ; Reinert, Gesine ; Lu, Yutong. In: Papers. RePEc:arx:papers:2302.09382. Full description at Econpapers || Download paper | |
2023 | FTXs downfall and Binances consolidation: the fragility of Centralized Digital Finance. (2023). Aste, Tomaso ; Briola, Antonio ; Vidal-Tom, David. In: Papers. RePEc:arx:papers:2302.11371. Full description at Econpapers || Download paper | |
2023 | Neural Stochastic Agent-Based Limit Order Book Simulation: A Hybrid Methodology. (2023). Cartlidge, John ; Shi, Zijian. In: Papers. RePEc:arx:papers:2303.00080. Full description at Econpapers || Download paper | |
2024 | A Bayesian derivation of the square root law of market impact. (2023). Marsili, Matteo ; Saddier, Louis. In: Papers. RePEc:arx:papers:2303.08867. Full description at Econpapers || Download paper | |
2023 | Optimal liquidation with temporary and permanent price impact, an application to cryptocurrencies. (2023). Sanchez, Juli'An Fernando ; Ramirez, Hugo E. In: Papers. RePEc:arx:papers:2303.10043. Full description at Econpapers || Download paper | |
2023 | Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064. Full description at Econpapers || Download paper | |
2023 | Company Competition Graph. (2023). Dai, Rui ; Li, Xinyi ; Zhang, Cien ; Huang, Jiawei ; Mao, Haitao ; Lu, Yutong. In: Papers. RePEc:arx:papers:2304.00323. Full description at Econpapers || Download paper | |
2023 | A network-based strategy of price correlations for optimal cryptocurrency portfolios. (2023). Correa, Luis Enrique ; Jing, Ruixue. In: Papers. RePEc:arx:papers:2304.02362. Full description at Econpapers || Download paper | |
2023 | Optimal Covariance Cleaning for Heavy-Tailed Distributions: Insights from Information Theory. (2023). Berritta, Marco ; Bongiorno, Christian. In: Papers. RePEc:arx:papers:2304.14098. Full description at Econpapers || Download paper | |
2023 | Exact solution to a generalised Lillo-Mike-Farmer model with heterogeneous order-splitting strategies. (2023). Kanazawa, Kiyoshi ; Sato, Yuki. In: Papers. RePEc:arx:papers:2306.13378. Full description at Econpapers || Download paper | |
2024 | Online Learning of Order Flow and Market Impact with Bayesian Change-Point Detection Methods. (2023). Mazzarisi, Piero ; Lillo, Fabrizio ; Tsaknaki, Ioanna-Yvonni. In: Papers. RePEc:arx:papers:2307.02375. Full description at Econpapers || Download paper | |
2024 | Tackling the Problem of State Dependent Execution Probability: Empirical Evidence and Order Placement. (2023). Ragel, Vincent ; Fabre, Timoth'Ee. In: Papers. RePEc:arx:papers:2307.04863. Full description at Econpapers || Download paper | |
2023 | Approximately optimal trade execution strategies under fast mean-reversion. (2023). Thamsten, Yuri ; Evangelista, David. In: Papers. RePEc:arx:papers:2307.07024. Full description at Econpapers || Download paper | |
2024 | Shifting Cryptocurrency Influence: A High-Resolution Network Analysis of Market Leaders. (2023). Chava, Sudheer ; Shah, Agam ; Hiray, Arnav. In: Papers. RePEc:arx:papers:2307.16874. Full description at Econpapers || Download paper | |
2023 | Methods for Acquiring and Incorporating Knowledge into Stock Price Prediction: A Survey. (2023). Zhu, Xinyi ; Wang, Xiaohan ; Kou, Zhizhuo ; Zhao, Lifan ; Li, Jiawei ; Chen, Lei ; Shen, Yanyan. In: Papers. RePEc:arx:papers:2308.04947. Full description at Econpapers || Download paper | |
2023 | Portfolio Selection via Topological Data Analysis. (2023). Zaytsev, Alexey ; Makhneva, Elizaveta ; Kuznetsov, Kristian ; Sokerin, Petr. In: Papers. RePEc:arx:papers:2308.07944. Full description at Econpapers || Download paper | |
2023 | Detecting Financial Market Manipulation with Statistical Physics Tools. (2023). Ventre, Carmine ; Polukarova, Maria ; Li, Haochen. In: Papers. RePEc:arx:papers:2308.08683. Full description at Econpapers || Download paper | |
2023 | Analysis of Optimal Portfolio Management Using Hierarchical Clustering. (2023). Panda, Kapil. In: Papers. RePEc:arx:papers:2308.11202. Full description at Econpapers || Download paper | |
2023 | Vector Autoregression in Cryptocurrency Markets: Unraveling Complex Causal Networks. (2023). Roughan, Matthew ; Mitchell, Lewis ; Cornell, Cameron. In: Papers. RePEc:arx:papers:2308.15769. Full description at Econpapers || Download paper | |
2023 | Epps Effect and the Signature of Short-Term Momentum Traders. (2023). Thomir, L'Eon ; Busca, J'Erome. In: Papers. RePEc:arx:papers:2309.06711. Full description at Econpapers || Download paper | |
2023 | Quantifying Credit Portfolio sensitivity to asset correlations with interpretable generative neural networks. (2023). Crupi, Riccardo ; Cagliero, Emanuele ; Caprioli, Sergio. In: Papers. RePEc:arx:papers:2309.08652. Full description at Econpapers || Download paper | |
2023 | A detection analysis for temporal memory patterns at different time-scales. (2023). Lambert, David ; Vanni, Fabio. In: Papers. RePEc:arx:papers:2309.12034. Full description at Econpapers || Download paper | |
2024 | Systemic risk in financial networks: the effects of asymptotic independence. (2023). Fasen-Hartmann, Vicky ; Das, Bikramjit. In: Papers. RePEc:arx:papers:2309.15511. Full description at Econpapers || Download paper | |
2023 | An Introduction to Complex Networks in Climate Finance. (2023). Ameli, Nadia ; Kartun-Giles, Alexander P. In: Papers. RePEc:arx:papers:2309.15890. Full description at Econpapers || Download paper | |
2023 | Narratives from GPT-derived Networks of News, and a link to Financial Markets Dislocations. (2023). Petrov, Constantin ; Miori, Deborah. In: Papers. RePEc:arx:papers:2311.14419. Full description at Econpapers || Download paper | |
2023 | The two square root laws of market impact and the role of sophisticated market participants. (2023). Rosenbaum, Mathieu ; Durin, Bruno ; Szymanski, Gr'Egoire. In: Papers. RePEc:arx:papers:2311.18283. Full description at Econpapers || Download paper | |
2024 | Dimensionality reduction techniques to support insider trading detection. (2024). Russo, Antonio ; Medda, Francesca ; Mazzarisi, Piero ; Deriu, Paola ; Lillo, Fabrizio ; Ravagnani, Adele. In: Papers. RePEc:arx:papers:2403.00707. Full description at Econpapers || Download paper | |
2024 | Antinetwork among China A-shares. (2024). Liu, Peng. In: Papers. RePEc:arx:papers:2404.00028. Full description at Econpapers || Download paper | |
2024 | Portfolio management using graph centralities: Review and comparison. (2024). Vrontos, Spyridon ; Noferini, Vanni ; Arslan, Bahar. In: Papers. RePEc:arx:papers:2404.00187. Full description at Econpapers || Download paper | |
2024 | Complex network analysis of cryptocurrency market during crashes. (2024). Hens, Chittaranjan ; Majhi, Sushovan ; Nurujjaman, MD ; Luwang, SR ; Rai, Anish ; Mukhia, Kundan. In: Papers. RePEc:arx:papers:2405.05642. Full description at Econpapers || Download paper | |
2023 | Interbank money market concerns and actors’ strategies—A systematic review of 21st century literature. (2023). Dugdale, Julie ; Reaidy, Paul J ; Madies, Philippe ; Alaeddini, Morteza. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:2:p:573-654. Full description at Econpapers || Download paper | |
2023 | Insurance fraud detection: A statistically validated network approach. (2023). Farabullini, Fabio ; Cesari, Riccardo ; Vassallo, Pietro ; Consiglio, Andrea ; Tumminello, Michele. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:381-419. Full description at Econpapers || Download paper | |
2023 | Deep learning model fragility and implications for financial stability and regulation. (2023). Roy, Arunita ; Kazim, Emre ; Tewarrie, Marvin ; Kingsman, Nigel ; da Costa, Kleyton ; Koshiyama, Adriano ; Kumar, Rishabh ; Lovell, Zac ; Treleaven, Philip. In: Bank of England working papers. RePEc:boe:boeewp:1038. Full description at Econpapers || Download paper | |
2023 | Optimal liquidation with temporary and permanent price impact, an application to cryptocurrencies. (2023). Sanchez, J F ; Ramirez, H. In: Documentos de Trabajo. RePEc:col:000092:020669. Full description at Econpapers || Download paper | |
2023 | Are the European Union stock markets vulnerable to the Russia–Ukraine war?. (2023). Pandey, Dharen ; Kumar, Gaurav ; Kumari, Vineeta. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635023000072. Full description at Econpapers || Download paper | |
2023 | Stable versus fragile community structures in the correlation dynamics of Chinese industry indices. (2023). Song, Fu-Tie ; Nie, Chun-Xiao. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:167:y:2023:i:c:s0960077922012231. Full description at Econpapers || Download paper | |
2023 | A numerical recipe for the computation of stationary stochastic processes’ autocorrelation function. (2023). Micciche, S. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:171:y:2023:i:c:s0960077923003594. Full description at Econpapers || Download paper | |
2024 | The Russia–Ukraine conflict and the amplitude of chaos in the prices of Natural Gas commodities. (2024). Alves, P. R. L., . In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:179:y:2024:i:c:s0960077924000031. Full description at Econpapers || Download paper | |
2024 | Pattern-detection in the global automotive industry: A manufacturer-supplier-product network analysis. (2024). Squartini, Tiziano ; Cimini, Giulio ; Zaccaria, Andrea ; Fessina, Massimiliano. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:181:y:2024:i:c:s0960077924001814. Full description at Econpapers || Download paper | |
2023 | Intermediaries’ substitutability and financial network resilience: A hyperstructure approach. (2023). Ugolini, Stefano ; Lucena-Piquero, Delio ; Accominotti, Olivier. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923001069. Full description at Econpapers || Download paper | |
2023 | Social contagion and the survival of diverse investment styles. (2023). Hirshleifer, David ; Zhang, Ruixun ; Lo, Andrew W. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:154:y:2023:i:c:s0165188923001173. Full description at Econpapers || Download paper | |
2023 | Interconnectedness and extreme risk: Evidence from dual banking systems. (2023). bouoiyour, jamal ; Addi, Abdelhamid. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s026499932200387x. Full description at Econpapers || Download paper | |
2023 | Laplacian-energy-like measure: Does it improve the Cross-Sectional Absolute Deviation herding model?. (2023). Yang, Xin ; Deng, Yanchen ; Cai, Yaqian ; Huang, Chuangxia. In: Economic Modelling. RePEc:eee:ecmode:v:127:y:2023:i:c:s0264999323002857. Full description at Econpapers || Download paper | |
2023 | Building optimal regime-switching portfolios. (2023). Bucci, Andrea ; Ciciretti, Vito. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001723. Full description at Econpapers || Download paper | |
2024 | Clustering effects and evolution of the global major 10-year government bond market structure: A network perspective. (2024). Peng, Hongjuan ; Tang, Pan ; Zhang, Ditian ; Zhuang, Yangyang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001870. Full description at Econpapers || Download paper | |
2024 | Bipartite network influence analysis of a two-mode network. (2024). Fang, Kuangnan ; Wu, Yujia. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623002786. Full description at Econpapers || Download paper | |
2024 | Distributed mean reversion online portfolio strategy with stock network. (2024). Li, Hongyi ; Xu, Weijun ; Zhong, Yannan. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1143-1158. Full description at Econpapers || Download paper | |
2023 | The environmental pillar of ESG and financial performance: A portfolio analysis. (2023). Karvelas, Kleanthis ; Alexopoulos, Thomas ; Agliardi, Elettra. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323000968. Full description at Econpapers || Download paper | |
2024 | Assessing systemic risk and connectedness among dirty and clean energy markets from the quantile and expectile perspectives. (2024). Suprijanto, Djoko ; Hakim, Arief ; Syuhada, Khreshna. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007594. Full description at Econpapers || Download paper | |
2024 | Detecting the horizontal/vertical price relationship patterns in the global oil industry chain through network analysis. (2024). Ma, Ning ; An, Haizhong ; Li, Huajiao ; Guo, Sui ; Liu, Yanxin ; Sun, Guangzhao ; Feng, Sida. In: Energy. RePEc:eee:energy:v:296:y:2024:i:c:s0360544224008260. Full description at Econpapers || Download paper | |
2023 | Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets. (2023). Zhu, You ; Uddin, Gazi Salah ; Xie, Chi ; Feng, Yusen ; Wan, LI ; Wang, Gang-Jin. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000340. Full description at Econpapers || Download paper | |
2023 | Explain systemic risk of commodity futures market by dynamic network. (2023). Zhang, Zuominyang ; Wang, Tianqi ; Lin, Jianwu ; Huang, KE ; He, Chengying. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923001746. Full description at Econpapers || Download paper | |
2023 | A new way of measuring effects of financial crisis on contagion in currency markets. (2023). Cook, Samantha ; Wit, Ernst-Jan Camiel ; Rigana, Katerina. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923002806. Full description at Econpapers || Download paper | |
2023 | A new view of risk contagion by decomposition of dependence structure: Empirical analysis of Sino-US stock markets. (2023). Lu, Xin ; Luan, Xin ; Zheng, Yanting ; Liu, Jiaming. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004362. Full description at Econpapers || Download paper | |
2024 | Measuring the G20 stock market return transmission mechanism: Evidence from the R2 connectedness approach. (2024). Gabauer, David ; Chatziantoniou, Ioannis ; Naeem, Muhammad Abubakr ; Karim, Sitara. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005021. Full description at Econpapers || Download paper | |
2024 | Social media information diffusion and excess stock returns co-movement. (2024). Li, Sai-Ping ; Wu, Wang-Long ; Chen, Zhang-Hangjian ; Koedijk, Kees G ; Bao, Kun. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005525. Full description at Econpapers || Download paper | |
2024 | Understanding co-movements based on heterogeneous information associations. (2024). Chen, Huayi ; Shi, Huai-Long. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s105752192400245x. Full description at Econpapers || Download paper | |
2024 | Financial fusion: Bridging Islamic and Green investments in the European stock market. (2024). Sensoy, Ahmet ; Karim, Sitara ; Husain, Afzol. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002734. Full description at Econpapers || Download paper | |
2023 | Anatomy of a Stablecoin’s failure: The Terra-Luna case. (2023). Aste, Tomaso ; Wang, Yuanrong ; Vidal-Tomas, David ; Briola, Antonio. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005359. Full description at Econpapers || Download paper | |
2023 | Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization. (2023). Challet, Damien ; Bongiorno, Christian. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005608. Full description at Econpapers || Download paper | |
2023 | Hierarchical risk parity using security selection based on peripheral assets of correlation-based minimum spanning trees. (2023). Song, Jae Wook ; Cho, Younghwan. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s154461232200784x. Full description at Econpapers || Download paper | |
2023 | The impact of the Russia–Ukraine conflict on the energy subsector stocks in China: A network-based approach. (2023). Pan, Huanxue ; Deng, Jing ; Ouyang, Wenpei ; Chen, Ying ; Xu, Zihan ; Xing, Xiaoyun. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000193. Full description at Econpapers || Download paper | |
2023 | Influential risk spreaders and their contribution to the systemic risk in the cryptocurrency network. (2023). Wang, Chengjin ; Yang, Ming-Yuan ; Zheng, Chengsi ; Wu, Xin. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005974. Full description at Econpapers || Download paper | |
2023 | Co-jump dynamicity in the cryptocurrency market: A network modelling perspective. (2023). Chen, Yan ; Bouri, Elie ; Zhang, Lei. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323007444. Full description at Econpapers || Download paper | |
2023 | A network-based strategy of price correlations for optimal cryptocurrency portfolios. (2023). Rocha, Luis ; Jing, Ruixue. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008759. Full description at Econpapers || Download paper | |
2024 | On sectoral market efficiency. (2024). Araneda, Axel A ; Villena, Marcelo J. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323013211. Full description at Econpapers || Download paper | |
2024 | The lead–lag relation between VIX futures and SPX futures. (2024). Kokholm, Thomas ; Bangsgaard, Christine. In: Journal of Financial Markets. RePEc:eee:finmar:v:67:y:2024:i:c:s1386418123000496. Full description at Econpapers || Download paper | |
2024 | The topological structure of panel variance decomposition networks. (2024). Pagnottoni, Paolo ; Cerchiello, Paola ; Celani, Alessandro. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s157230892400007x. Full description at Econpapers || Download paper | |
2024 | Temporal networks and financial contagion. (2024). Nocciola, Luca ; Vouldis, Angelos ; Franch, Fabio. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000093. Full description at Econpapers || Download paper | |
2023 | Quantile connectedness and the determinants between FinTech and traditional financial institutions: Evidence from China. (2023). Uddin, Gazi ; Wang, Gang-Jin ; Chen, Yan ; Xie, Chi ; Zhu, You. In: Global Finance Journal. RePEc:eee:glofin:v:58:y:2023:i:c:s1044028323001011. Full description at Econpapers || Download paper | |
2024 | Trade fragmentation and volatility-of-volatility networks. (2024). Jawadi, Fredj ; Bastidon, Cecile. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001762. Full description at Econpapers || Download paper | |
2023 | Predicting aircraft trajectory uncertainties for terminal airspace design evaluation. (2023). He, Fang ; Hong, Ning ; Zhu, Xinting ; Fu, Xiaowen ; Li, Lishuai ; Lin, YU. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:113:y:2023:i:c:s0969699723001163. Full description at Econpapers || Download paper | |
2023 | Correlation scenarios and correlation stress testing. (2023). Woebbeking, F ; Packham, N. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:205:y:2023:i:c:p:55-67. Full description at Econpapers || Download paper | |
2024 | Carbon volatility connectedness and the role of external uncertainties: Evidence from China. (2024). Zhou, Wei-Xing ; Shi, Huai-Long ; Chen, Huayi. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851324000023. Full description at Econpapers || Download paper | |
2023 | Research on price transmission in Chinese mining stock market: Based on industry. (2023). Sun, Haoyu ; Wang, LU ; Zhou, Xuanru ; Xing, Wanli ; Zhang, Hua ; Zhu, Mingxue. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723004385. Full description at Econpapers || Download paper | |
2023 | The extreme risk connectedness of the global financial system: G7 and BRICS evidence. (2023). Lu, Shuai ; Li, Shaofang ; Chen, Ning. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:69:y:2023:i:c:s1042444x23000312. Full description at Econpapers || Download paper | |
2023 | Scaling invariance in domestic passenger flight delays in the United States. (2023). Zhu, Chenping ; Sun, Long Long. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:611:y:2023:i:c:s0378437122010032. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2007 | Scaling laws of strategic behaviour and size heterogeneity in agent dynamics In: Papers. [Full Text][Citation analysis] | paper | 0 |
2007 | Kullback-Leibler distance as a measure of the information filtered from multivariate data In: Papers. [Full Text][Citation analysis] | paper | 17 |
2007 | Specialization of strategies and herding behavior of trading firms in a financial market In: Papers. [Full Text][Citation analysis] | paper | 1 |
2007 | Shrinkage and spectral filtering of correlation matrices: a comparison via the Kullback-Leibler distance In: Papers. [Full Text][Citation analysis] | paper | 6 |
2008 | Correlation, hierarchies, and networks in financial markets In: Papers. [Full Text][Citation analysis] | paper | 128 |
2010 | Correlation, hierarchies, and networks in financial markets.(2010) In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 128 | article | |
2009 | Market impact and trading profile of large trading orders in stock markets In: Papers. [Full Text][Citation analysis] | paper | 59 |
2010 | Statistical identification with hidden Markov models of large order splitting strategies in an equity market In: Papers. [Full Text][Citation analysis] | paper | 5 |
2010 | When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators In: Papers. [Full Text][Citation analysis] | paper | 31 |
2011 | When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators.(2011) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | article | |
2011 | Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange In: Papers. [Full Text][Citation analysis] | paper | 2 |
2012 | Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange.(2012) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2011 | Do firms share the same functional form of their growth rate distribution? A new statistical test In: Papers. [Full Text][Citation analysis] | paper | 1 |
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2011 | Identification of clusters of investors from their real trading activity in a financial market In: Papers. [Full Text][Citation analysis] | paper | 0 |
2012 | How news affect the trading behavior of different categories of investors in a financial market In: Papers. [Full Text][Citation analysis] | paper | 26 |
2015 | How news affects the trading behaviour of different categories of investors in a financial market.(2015) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | article | |
2013 | Evolution of correlation structure of industrial indices of US equity markets In: Papers. [Full Text][Citation analysis] | paper | 29 |
2014 | Emergence of statistically validated financial intraday lead-lag relationships In: Papers. [Full Text][Citation analysis] | paper | 49 |
2015 | Emergence of statistically validated financial intraday lead-lag relationships.(2015) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 49 | article | |
2014 | Networked relationships in the e-MID Interbank market: A trading model with memory In: Papers. [Full Text][Citation analysis] | paper | 57 |
2015 | Networked relationships in the e-MID interbank market: A trading model with memory.(2015) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 57 | article | |
2014 | Bank-firm credit network in Japan. An analysis of a bipartite network In: Papers. [Full Text][Citation analysis] | paper | 15 |
2015 | Bank-Firm Credit Network in Japan: An Analysis of a Bipartite Network.(2015) In: PLOS ONE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | article | |
2014 | Sicily and the development of Econophysics: the pioneering work of Ettore Majorana and the Econophysics Workshop in Palermo In: Papers. [Full Text][Citation analysis] | paper | 0 |
2015 | Backbone of credit relationships in the Japanese credit market In: Papers. [Full Text][Citation analysis] | paper | 2 |
2015 | Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach In: Papers. [Full Text][Citation analysis] | paper | 4 |
2016 | Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach..(2016) In: Chaos, Solitons & Fractals. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2019 | On the interplay between multiscaling and stocks dependence In: Papers. [Full Text][Citation analysis] | paper | 12 |
2020 | On the interplay between multiscaling and stock dependence.(2020) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
2020 | Dynamics of fintech terms in news and blogs and specialization of companies of the fintech industry In: Papers. [Full Text][Citation analysis] | paper | 0 |
2000 | Taxonomy of Stock Market Indices In: Papers. [Full Text][Citation analysis] | paper | 55 |
2000 | Symmetry alteration of ensemble return distribution in crash and rally days of financial markets In: Papers. [Full Text][Citation analysis] | paper | 12 |
2000 | Variety and Volatility in Financial Markets In: Papers. [Full Text][Citation analysis] | paper | 27 |
2000 | High-frequency Cross-correlation in a Set of Stocks In: Papers. [Full Text][Citation analysis] | paper | 104 |
2001 | High-frequency cross-correlation in a set of stocks.(2001) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 104 | article | |
2000 | Empirical properties of the variety of a financial portfolio and the single-index model In: Papers. [Full Text][Citation analysis] | paper | 2 |
2001 | Empirical properties of the variety of a financial portfolio and the single-index model.(2001) In: The European Physical Journal B: Condensed Matter and Complex Systems. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2001 | Variety of Stock Returns in Normal and Extreme Market Days: The August 1998 Crisis In: Papers. [Full Text][Citation analysis] | paper | 3 |
2001 | Levels of complexity in financial markets In: Papers. [Full Text][Citation analysis] | paper | 32 |
2001 | Levels of complexity in financial markets.(2001) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | article | |
2001 | Introducing Variety in Risk Management In: Papers. [Full Text][Citation analysis] | paper | 0 |
2001 | Introducing Variety in Risk Management.(2001) In: Science & Finance (CFM) working paper archive. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2001 | Ensemble properties of securities traded in the NASDAQ market In: Papers. [Full Text][Citation analysis] | paper | 5 |
2001 | Ensemble properties of securities traded in the NASDAQ market.(2001) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2003 | Power law relaxation in a complex system: Omori law after a financial market crash In: Papers. [Full Text][Citation analysis] | paper | 34 |
2002 | Volatility in Financial Markets: Stochastic Models and Empirical Results In: Papers. [Full Text][Citation analysis] | paper | 35 |
2002 | Volatility in financial markets: stochastic models and empirical results.(2002) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | article | |
2002 | Single Curve Collapse of the Price Impact Function for the New York Stock Exchange In: Papers. [Full Text][Citation analysis] | paper | 10 |
2002 | Dynamics of a financial market index after a crash In: Papers. [Full Text][Citation analysis] | paper | 16 |
2004 | Dynamics of a financial market index after a crash.(2004) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | article | |
2002 | Degree stability of a minimum spanning tree of price return and volatility In: Papers. [Full Text][Citation analysis] | paper | 51 |
2003 | Degree stability of a minimum spanning tree of price return and volatility.(2003) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 51 | article | |
2004 | Networks of equities in financial markets In: Papers. [Full Text][Citation analysis] | paper | 144 |
2004 | Networks of equities in financial markets.(2004) In: The European Physical Journal B: Condensed Matter and Complex Systems. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 144 | article | |
2004 | An interest rates cluster analysis In: Papers. [Full Text][Citation analysis] | paper | 22 |
2004 | An interest rates cluster analysis.(2004) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | article | |
2004 | Value-at-Risk and Tsallis statistics: risk analysis of the aerospace sector In: Papers. [Full Text][Citation analysis] | paper | 6 |
2004 | Value-at-risk and Tsallis statistics: risk analysis of the aerospace sector.(2004) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2005 | Sector identification in a set of stock return time series traded at the London Stock Exchange In: Papers. [Full Text][Citation analysis] | paper | 24 |
1998 | Hierarchical Structure in Financial Markets In: Papers. [Full Text][Citation analysis] | paper | 684 |
1999 | Hierarchical structure in financial markets.(1999) In: The European Physical Journal B: Condensed Matter and Complex Systems. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 684 | article | |
1999 | Hierarchical structure in financial markets.(1999) In: The European Physical Journal B: Condensed Matter and Complex Systems. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 684 | article | |
1998 | Modeling of Financial Data: Comparison of the Truncated L\evy Flight and the ARCH(1) and GARCH(1,1) processes In: Papers. [Full Text][Citation analysis] | paper | 13 |
1998 | Modeling of financial data: Comparison of the truncated Lévy flight and the ARCH(1) and GARCH(1,1) processes.(1998) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
1999 | Statistical Properties of Statistical Ensembles of Stock Returns In: Papers. [Full Text][Citation analysis] | paper | 1 |
2000 | STATISTICAL PROPERTIES OF STATISTICAL ENSEMBLES OF STOCK RETURNS.(2000) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
1999 | Dynamics of the Number of Trades of Financial Securities In: Papers. [Full Text][Citation analysis] | paper | 12 |
2000 | Dynamics of the number of trades of financial securities.(2000) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
2005 | Cluster analysis for portfolio optimization In: Papers. [Full Text][Citation analysis] | paper | 96 |
2008 | Cluster analysis for portfolio optimization.(2008) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 96 | article | |
2005 | Scaling and data collapse for the mean exit time of asset prices In: Papers. [Full Text][Citation analysis] | paper | 3 |
2007 | Correlation based networks of equity returns sampled at different time horizons In: Papers. [Full Text][Citation analysis] | paper | 108 |
2007 | Correlation based networks of equity returns sampled at different time horizons.(2007) In: The European Physical Journal B: Condensed Matter and Complex Systems. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 108 | article | |
2006 | Market reaction to temporary liquidity crises and the permanent market impact In: Papers. [Full Text][Citation analysis] | paper | 0 |
2006 | Economic sector identification in a set of stocks traded at the New York Stock Exchange: a comparative analysis In: Papers. [Full Text][Citation analysis] | paper | 0 |
2008 | Diffusive behavior and the modeling of characteristic times in limit order executions In: Papers. [Full Text][Citation analysis] | paper | 1 |
2009 | Diffusive behavior and the modeling of characteristic times in limit order executions.(2009) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2013 | Quantifying preferential trading in the e-MID interbank market In: Working Papers. [Full Text][Citation analysis] | paper | 32 |
2015 | Quantifying preferential trading in the e-MID interbank market.(2015) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | article | |
2007 | Introduction to Econophysics In: Cambridge Books. [Citation analysis] | book | 485 |
1999 | Introduction to Econophysics.(1999) In: Cambridge Books. [Citation analysis] This paper has nother version. Agregated cites: 485 | book | |
2014 | Do firms share the same functional form of their growth rate distribution? A statistical test In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 6 |
1995 | Zipf plots and the size distribution of firms In: Economics Letters. [Full Text][Citation analysis] | article | 129 |
2019 | When financial economics influences physics: The role of Econophysics In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 1 |
2015 | Applying complexity science to air traffic management In: Journal of Air Transport Management. [Full Text][Citation analysis] | article | 21 |
2017 | Statistical characterization of deviations from planned flight trajectories in air traffic management In: Journal of Air Transport Management. [Full Text][Citation analysis] | article | 4 |
1994 | Statistical mechanics in biology: how ubiquitous are long-range correlations? In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 21 |
1995 | Statistical properties of DNA sequences In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 13 |
1996 | Anomalous fluctuations in the dynamics of complex systems: from DNA and physiology to econophysics In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 50 |
1999 | Empirical investigation of stock price dynamics in an emerging market In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 4 |
1999 | Applications of statistical mechanics to finance In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 20 |
2000 | Identification of clusters of companies in stock indices via Potts super-paramagnetic transitions In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 17 |
2018 | Bootstrap validation of links of a minimum spanning tree In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 4 |
2022 | Statistically validated hierarchical clustering: Nested partitions in hierarchical trees In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 1 |
2022 | Statistically validated hierarchical clustering: Nested partitions in hierarchical trees.(2022) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2019 | Nested partitions from hierarchical clustering statistical validation In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | High-frequency trading and networked markets In: Proceedings of the National Academy of Sciences. [Full Text][Citation analysis] | article | 5 |
2003 | Master curve for price-impact function In: Nature. [Full Text][Citation analysis] | article | 151 |
2015 | How Lead-Lag Correlations Affect the Intraday Pattern of Collective Stock Dynamics In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2018 | Long-term ecology of investors in a financial market In: Palgrave Communications. [Full Text][Citation analysis] | article | 21 |
2010 | Dominating Clasp of the Financial Sector Revealed by Partial Correlation Analysis of the Stock Market In: PLOS ONE. [Full Text][Citation analysis] | article | 115 |
2011 | Statistically Validated Networks in Bipartite Complex Systems In: PLOS ONE. [Full Text][Citation analysis] | article | 68 |
2013 | Quantitative Analysis of Gender Stereotypes and Information Aggregation in a National Election In: PLOS ONE. [Full Text][Citation analysis] | article | 1 |
2013 | The Phenomenology of Specialization of Criminal Suspects In: PLOS ONE. [Full Text][Citation analysis] | article | 4 |
2014 | Multi-Scale Analysis of the European Airspace Using Network Community Detection In: PLOS ONE. [Full Text][Citation analysis] | article | 10 |
2017 | An empirically grounded agent based model for modeling directs, conflict detection and resolution operations in air traffic management In: PLOS ONE. [Full Text][Citation analysis] | article | 0 |
2018 | A dynamic analysis of S&P 500, FTSE 100 and EURO STOXX 50 indices under different exchange rates In: PLOS ONE. [Full Text][Citation analysis] | article | 9 |
2001 | VARIETY OF BEHAVIOR OF EQUITY RETURNS IN FINANCIAL MARKETS In: Computing in Economics and Finance 2001. [Citation analysis] | paper | 0 |
2002 | Empirical investigation and modeling of a financial market after a crash In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 0 |
2008 | Statistical properties of thermodynamically predicted RNA secondary structures in viral genomes In: The European Physical Journal B: Condensed Matter and Complex Systems. [Full Text][Citation analysis] | article | 0 |
2008 | Generation of hierarchically correlated multivariate symbolic sequences In: The European Physical Journal B: Condensed Matter and Complex Systems. [Full Text][Citation analysis] | article | 0 |
2015 | Special issue of Quantitative Finance on Interlinkages and Systemic Risk In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
2021 | The Rise and Fall of Business Firms: A Stochastic Framework on Innovation, Creative In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
2005 | Presentation of the English translation of Ettore Majoranas paper: The value of statistical laws in physics and social sciences In: Quantitative Finance. [Full Text][Citation analysis] | article | 4 |
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