Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash
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...
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| Autores principales: | , , , , |
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| Formato: | JOUR |
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| Acceso en línea: | http://hdl.handle.net/20.500.12110/paper_03784371_v359_n1-4_p576_Ferraro |
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| Sumario: | 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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