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

Mostrar todas las versiones(2)

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 scal...

Descripción completa

Guardado en:
Detalles Bibliográficos
Autores principales: Ferraro, M., Furman, N., Liu, Y., Mariani, C., Rial, D.
Formato: JOUR
Materias:
Econophysics
Intermittence
Latin American indices
Scale invariance
Stock market prices
Industrial economics
Invariance
Marketing
Mathematical models
Instrument scales
Acceso en línea:http://hdl.handle.net/20.500.12110/paper_03784371_v359_n1-4_p576_Ferraro
Aporte de:
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires
id todo:paper_03784371_v359_n1-4_p576_Ferraro
record_format dspace
spelling todo:paper_03784371_v359_n1-4_p576_Ferraro2023-10-03T15:32:47Z Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash Ferraro, M. Furman, N. Liu, Y. Mariani, C. Rial, D. Econophysics Intermittence Latin American indices Scale invariance Stock market prices Industrial economics Invariance Marketing Mathematical models Econophysics Intermittence Latin American indices Scale invariance Stock market prices Instrument scales 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. Fil:Ferraro, M. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. Fil:Furman, N. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. Fil:Mariani, C. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. Fil:Rial, D. 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_v359_n1-4_p576_Ferraro
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-134
collection Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA)
topic Econophysics
Intermittence
Latin American indices
Scale invariance
Stock market prices
Industrial economics
Invariance
Marketing
Mathematical models
Econophysics
Intermittence
Latin American indices
Scale invariance
Stock market prices
Instrument scales
spellingShingle Econophysics
Intermittence
Latin American indices
Scale invariance
Stock market prices
Industrial economics
Invariance
Marketing
Mathematical models
Econophysics
Intermittence
Latin American indices
Scale invariance
Stock market prices
Instrument scales
Ferraro, M.
Furman, N.
Liu, Y.
Mariani, C.
Rial, D.
Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash
topic_facet Econophysics
Intermittence
Latin American indices
Scale invariance
Stock market prices
Industrial economics
Invariance
Marketing
Mathematical models
Econophysics
Intermittence
Latin American indices
Scale invariance
Stock market prices
Instrument scales
description 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.
format JOUR
author Ferraro, M.
Furman, N.
Liu, Y.
Mariani, C.
Rial, D.
author_facet Ferraro, M.
Furman, N.
Liu, Y.
Mariani, C.
Rial, D.
author_sort Ferraro, M.
title Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash
title_short Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash
title_full Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash
title_fullStr Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash
title_full_unstemmed Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash
title_sort analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash
url http://hdl.handle.net/20.500.12110/paper_03784371_v359_n1-4_p576_Ferraro
work_keys_str_mv AT ferrarom analysisofintermittencescaleinvarianceandcharacteristicscalesinthebehaviorofmajorindicesnearacrash
AT furmann analysisofintermittencescaleinvarianceandcharacteristicscalesinthebehaviorofmajorindicesnearacrash
AT liuy analysisofintermittencescaleinvarianceandcharacteristicscalesinthebehaviorofmajorindicesnearacrash
AT marianic analysisofintermittencescaleinvarianceandcharacteristicscalesinthebehaviorofmajorindicesnearacrash
AT riald analysisofintermittencescaleinvarianceandcharacteristicscalesinthebehaviorofmajorindicesnearacrash
_version_ 1807316920194564096

Ejemplares similares