Concepedia

Correlation of coming limit price with order book in stock markets

Jun-ichi Maskawa

Physica A Statistical Mechanics and its Applications · 2007 · 12 citations · 12 references

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References

12

Empirical properties of asset returns: stylized facts and statistical issues

Rama Cont · Quantitative Finance · 2001 · 3.2K citations

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Statistical properties of the volatility of price fluctuations

Yanhui Liu, Parameswaran Gopikrishnan, Cizeau et al. · Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics · 1999 · 735 citations · Full text

, , +14

Inverse cubic law for the distribution of stock price variations

Parameswaran Gopikrishnan, Martin Meyer, Luı́s A. Nunes Amaral et al. · The European Physical Journal B · 1998 · 590 citations · Full text

, , +10

Scaling of the distribution of price fluctuations of individual companies

Vasiliki Plerou, Parameswaran Gopikrishnan, Luı́s A. Nunes Amaral et al. · Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics · 1999 · 542 citations · Full text

, , +14

Empirical properties of asset returns: stylized facts and statistical issues

Rama Cont · Quantitative Finance · 2001 · 536 citations

, , +16