Measuring capital market efficiency: long-term memory, fractal dimension and approximate entropy

Testing power-law cross-correlations: rescaled covariance test

(2013) Ladislav Kristoufek   EUROPEAN PHYSICAL JOURNAL B

Non-stationary multifractality in stock returns

(2013) Raffaello Morales et al.   PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

Dynamical generalized Hurst exponent as a tool to monitor unstable periods in financial time series

(2012) Raffaello Morales et al.   PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study

(2012) Ladislav Kristoufek   PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

Understanding the source of multifractality in financial markets

(2012) Jozef Barunik et al.   PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

Measuring capital market efficiency: Global and local correlations structure

(2012) Ladislav Kristoufek et al.   PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

Finite-size effect and the components of multifractality in financial volatility

(2011) Wei-Xing Zhou   CHAOS SOLITONS & FRACTALS

Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency

(2010) Luciano Zunino et al.   PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

On Hurst exponent estimation under heavy-tailed distributions

(2010) Jozef Barunik et al.   PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

Eliminating finite-size effects and detecting the amount of white noise in short records with long-term memory

(2009) Sabine Lennartz et al.   PHYSICAL REVIEW E