Artículo

Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash

Ferraro, Marta BeatrizIcon ; Furman, NicolasIcon ; Liu, Yang; Mariani, Maria CristinaIcon ; Rial, Diego FernandoIcon
Fecha de publicación: 12/2006
Editorial: Elsevier Science
Revista: Physica A: Statistical Mechanics and its Applications
ISSN: 0378-4371
Idioma: Inglés
Tipo de recurso: Artículo publicado

Resumen

This work is devoted to the study of the relation between intermittence and scale invariance. We find the conditions that a function in which both effects are present must satisfy, and we analyze the relation with characteristic scales. We present an efficient method that detects characteristic scales in different systems. Finally we develop a model that predicts the existence of intermittence and characteristic scales in the behavior of a financial index near a crash, and we apply the model to the analysis of several financial indices. © 2005 Elsevier B.V. All rights reserved.

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http://dx.doi.org/10.1016/j.physa.2005.04.034
info:eu-repo/semantics/restrictedAccess Excepto donde se diga explícitamente, este item se publica bajo la siguiente descripción: Creative Commons Attribution-NonCommercial-ShareAlike 2.5 Unported (CC BY-NC-SA 2.5)
Citación: Ferraro, Marta Beatriz; Furman, Nicolas; Liu, Yang; Mariani, Maria Cristina; Rial, Diego Fernando; Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 359; 1-4; 12-2006; 576-588
URI: http://hdl.handle.net/11336/71833
 

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