Artículo

Long correlations and truncated Levy walks applied to the study Latin-American market indices

Jaroszewicz, Sebastian; Mariani, Maria CristinaIcon ; Ferraro, Marta BeatrizIcon
Fecha de publicación: 12/2005
Editorial: Elsevier Science
Revista: Physica A: Statistical Mechanics and its Applications
ISSN: 0378-4371
Idioma: Inglés
Tipo de recurso: Artículo publicado
Clasificación temática:

Resumen

This work is devoted to the study of long correlations and other statistical properties of Latin-American market indices. We concluded that the behavior of the return is compatible with a slow convergence to a Gaussian distribution. We also detected long-range correlations in the absolute value of the return analyzing the effects of working with short data series. This fact has relevant consequences in the volatility dynamics. © 2005 Elsevier B.V. All rights reserved.
Palabras clave: DETRENDED FLUCTUATION ANALYSIS , ECONOPHYSICS , LATIN-AMERICAN INDICES , LEVY FLIGHT , STOCK MARKET PRICES
 
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info:eu-repo/semantics/openAccess 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)
Identificadores
URI: http://hdl.handle.net/11336/73153
DOI: http://dx.doi.org/10.1016/j.physa.2005.04.003
URL: https://www.sciencedirect.com/science/article/abs/pii/S0378437105003055
Colecciones
Articulos(IFIBA)
Articulos de INST.DE FISICA DE BUENOS AIRES
Citación
Jaroszewicz, Sebastian; Mariani, Maria Cristina; Ferraro, Marta Beatriz; Long correlations and truncated Levy walks applied to the study Latin-American market indices; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 355; 2-4; 12-2005; 461-474
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