P
P. Oświe¸cimka
Researcher at Polish Academy of Sciences
Publications - 4
Citations - 394
P. Oświe¸cimka is an academic researcher from Polish Academy of Sciences. The author has contributed to research in topics: Multifractal system & Stock market. The author has an hindex of 4, co-authored 4 publications receiving 366 citations.
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Multifractality in the stock market: price increments versus waiting times
TL;DR: In this article, the authors apply the multifractal detrended fluctuation analysis to the high-frequency tick-by-tick data from Deutsche Borse both in the price and in the time domains.
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Components of multifractality in high-frequency stock returns
TL;DR: In this paper, the authors analyzed multifractal properties of 5min stock returns from a period of over two years for 100 highly capitalized American companies and found that fat-tailed probability distributions and non-linear temporal correlations vitally contribute to the observed multifractal dynamics of the returns.
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Stock market return distributions: From past to present
TL;DR: This paper showed that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index α > 3 and this index tends to increase quickly with decreasing sampling frequency.
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The bulk of the stock market correlation matrix is not pure noise
TL;DR: It turns out that systematically more eigenvalues remain beyond the borders prescribed by this variant of the random matrix theory (RMT), which may indicate that even the bulk of the spectrum of the stock market correlation matrix carries some sort of correlations that are masked by a measurement noise when the time series used to construct the matrix are short.