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

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 t...

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Autores principales: Jaroszewicz, S., Mariani, M.C., Ferraro, M.
Formato: JOUR
Materias:
Detrended fluctuation analysis
Econophysics
Latin-American indices
Levy flight
Stock market prices
Brownian movement
Correlation methods
Economics
Inventory control
Marketing
Probabilistic logics
Random processes
Statistical methods
Finance
Acceso en línea:http://hdl.handle.net/20.500.12110/paper_03784371_v355_n2-4_p461_Jaroszewicz
Aporte de:
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires
id todo:paper_03784371_v355_n2-4_p461_Jaroszewicz
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spelling todo:paper_03784371_v355_n2-4_p461_Jaroszewicz2023-10-03T15:32:45Z Long correlations and truncated Levy walks applied to the study Latin-American market indices Jaroszewicz, S. Mariani, M.C. Ferraro, M. Detrended fluctuation analysis Econophysics Latin-American indices Levy flight Stock market prices Detrended fluctuation analysis Econophysics Latin-American indices Levy flight Stock market prices Brownian movement Correlation methods Economics Inventory control Marketing Probabilistic logics Random processes Statistical methods Finance 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. Fil:Mariani, M.C. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. Fil:Ferraro, M. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. JOUR info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/2.5/ar http://hdl.handle.net/20.500.12110/paper_03784371_v355_n2-4_p461_Jaroszewicz
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-134
collection Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA)
topic Detrended fluctuation analysis
Econophysics
Latin-American indices
Levy flight
Stock market prices
Detrended fluctuation analysis
Econophysics
Latin-American indices
Levy flight
Stock market prices
Brownian movement
Correlation methods
Economics
Inventory control
Marketing
Probabilistic logics
Random processes
Statistical methods
Finance
spellingShingle Detrended fluctuation analysis
Econophysics
Latin-American indices
Levy flight
Stock market prices
Detrended fluctuation analysis
Econophysics
Latin-American indices
Levy flight
Stock market prices
Brownian movement
Correlation methods
Economics
Inventory control
Marketing
Probabilistic logics
Random processes
Statistical methods
Finance
Jaroszewicz, S.
Mariani, M.C.
Ferraro, M.
Long correlations and truncated Levy walks applied to the study Latin-American market indices
topic_facet Detrended fluctuation analysis
Econophysics
Latin-American indices
Levy flight
Stock market prices
Detrended fluctuation analysis
Econophysics
Latin-American indices
Levy flight
Stock market prices
Brownian movement
Correlation methods
Economics
Inventory control
Marketing
Probabilistic logics
Random processes
Statistical methods
Finance
description 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.
format JOUR
author Jaroszewicz, S.
Mariani, M.C.
Ferraro, M.
author_facet Jaroszewicz, S.
Mariani, M.C.
Ferraro, M.
author_sort Jaroszewicz, S.
title Long correlations and truncated Levy walks applied to the study Latin-American market indices
title_short Long correlations and truncated Levy walks applied to the study Latin-American market indices
title_full Long correlations and truncated Levy walks applied to the study Latin-American market indices
title_fullStr Long correlations and truncated Levy walks applied to the study Latin-American market indices
title_full_unstemmed Long correlations and truncated Levy walks applied to the study Latin-American market indices
title_sort long correlations and truncated levy walks applied to the study latin-american market indices
url http://hdl.handle.net/20.500.12110/paper_03784371_v355_n2-4_p461_Jaroszewicz
work_keys_str_mv AT jaroszewiczs longcorrelationsandtruncatedlevywalksappliedtothestudylatinamericanmarketindices
AT marianimc longcorrelationsandtruncatedlevywalksappliedtothestudylatinamericanmarketindices
AT ferrarom longcorrelationsandtruncatedlevywalksappliedtothestudylatinamericanmarketindices
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