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Affiliation: |
University of Warsaw, Faculty of Physics, Institute of Experimental Physics|
| address: | Hoża 69, Warsaw, 00-681, Poland | | phone: | | | fax: | | | web: | | |
Affiliation: |
Center for Polymer Studies and Department of Physics, Boston University|
| address: | 590 Commonwealth Ave, Boston, MA, 02215, United States | | phone: | | | fax: | | | web: | | |
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| began: | 2007-11-22 |
| ended: | 2007-11-24 |
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| began: | 2008-06-19 |
| ended: | 2008-06-21 |
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| began: | 2013-01-29 |
| ended: | 2013-01-30 |
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Publications: |
- Analysis of times between events by methods of statistical physics
- Backward jump continuous-time random walk: An application to market trading
- Backward jump Continuous-Time Random Walk on a stock market. What is the true origin of the autocorrelation on the market?
- Catastrophic bifurcations on financial markets
- Coevolution in model of social interactions: getting closer to real-world networks
- Coevolving complex networks in the model of social interaction
- Continuous-Time Random Walk models with memory. An application to description of market dynamics
- Continuous-time random walk with memory in study of autocorrelations present in financial time series
- Correlations and dependencies in high-frequency stock market data
- Dynamic bifurcations on financial markets
- Dynamic structural and topological phase transitions on the Warsaw Stock Exchange: A phenomenological approach
- Influence of super-extreme events on a Weierstrass-Mandelbrot Continuous-Time Random Walk
- Inter-transaction times and long memory of financial time series
- Intraday correlation structure for high frequency financial data
- Modeling Endogenous Contagion on O/N Interbank Market
- Modeling of super-extreme events: An application to the hierarchical Weierstrass-Mandelbrot Continuous-time Random Walk
- Physics of polish banking system
- Share price movements as non-independent continuous-time random walk
- Statistical mechanics of coevolving Ising model
- Structural and topological phase transitions on the German Stock Exchange
- Study of time series reversibility with Pomeau criterion
- Superextreme Events and Their Impact on Characteristics of Time Series
- Temporal condensation and dynamic λ-transition within the complex network: an application to real-life market evolution
- Universality of market superstatistics
- Universality of market superstatistics. Superscaling
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