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

Mostrar otras 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
Autor principal: Ferraro, Marta Beatriz
Otros Autores: Furman, N., Liu, Y., Mariani, C., Rial, D.
Formato: Capítulo de libro
Lenguaje:Inglés
Publicado: 2006
Materias:
LATIN AMERICAN INDICES
Acceso en línea:Registro en Scopus
DOI
Handle
Registro en la Biblioteca Digital
Aporte de:Registro referencial: Solicitar el recurso aquí
Biblioteca Central Dr. Luis F. Leloir (FCEN) de Universidad de Buenos Aires
LEADER 05523caa a22008417a 4500
001 PAPER-7348
003 AR-BaUEN
005 20250321083845.0
008 190411s2006 xx ||||fo|||| 00| 0 eng|d
024 7 |2 scopus  |a 2-s2.0-27344444323 
030 |a PHYAD 
040 |a Scopus  |b spa  |c AR-BaUEN  |d AR-BaUEN 
100 1 |a Ferraro, Marta Beatriz 
245 1 0 |a Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash 
260 |c 2006 
270 1 0 |m Mariani, C.; Department of Mathematical Sciences, New Mexico State University, Las Cruces, NM 88003-8001, United States; email: mmariani@nmsu.edu 
504 |a Novikov, E.A., (1990) Phys. Fluids A, 1, p. 814 
504 |a Johansen, A., Sornette, D., (2000) Physica D, 138, p. 302 
504 |a Sornette, D., (1998) Phys. Rep., 297, pp. 239-270 
504 |a Saleur, H., Sammis, C., Sornette, D., (1996) Nonlinear Proc. Geophys., 3, p. 102 
504 |a Johansen, A., Sornette, D., Saleur, H., (2000) Eur. Phys. J. B, 15, p. 551 
504 |a Choptuik, M.W., (1993) Phys. Rev. Lett., 70, p. 9 
504 |a Abrahams, A.M., (1994) General Relativity Gravitation, 26, p. 379 
504 |a Mandelbrot, B.B., (1993) The Fractal Geometry of Nature, , Freeman, New York 
504 |a Novikov, E.A., (1996) Dokl. Akad. Nauk. SSSR, 168, p. 1279 
504 |a Mantegna, R.N., Stanley, H.E., (1999) An Introduction to Econophysics: Correlations and Complexity in Finance, , Cambridge University Press Cambridge 
504 |a Stanley, H.E., Amaral, L.A.N., Canning, D., Gopikrishnan, P., Lee, Y., Liu, Y., (1999) Physica A, 269, p. 156 
504 |a Ausloos, M., Vandewalle, N., Boveroux, Ph., Minguet, A., Ivanova, K., (1999) Physica A, 274, p. 229 
504 |a Bouchaud, J.-Ph., Potters, M., (1997) Théorie des Riques Financiers, , Alea-Saclay/Eyrolles Paris 
504 |a Mantegna, R.N., Stanley, H.E., (1995) Nature, 376, p. 46 
504 |a Johansen, A., Sornette, D., Ledoit, O., (2000) Int. J. Theor. Appl. Finance, 3, p. 219 
504 |a Figueroa, M., Mariani, M.C., Ferraro, M., The effects of the Asian crisis of 1997 on emergent markets through a critical phenomena modl (2003) Int. J. Theor. Appl. Finance, 6, pp. 605-612 
504 |a Johansen, A., Sornette, D., (1997) Physica A, 245, p. 411 
504 |a Amaral, L., (1999) Comp. Phys. Comm., 121, pp. 145-152 
504 |a Hull, J.C., (1997) Options, Futures and Other Derivatives, , Prentice Hall Inc. Englewood Cliffs, NJ 
504 |a Duffie, D., (1996) Dynamic Pricing Asset, , Princeton University Press Princeton, NJ 
506 |2 openaire  |e Política editorial 
520 3 |a 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.  |l eng 
536 |a Detalles de la financiación: National Science Foundation, UBACyT X202, UBACyT X098 
536 |a Detalles de la financiación: Consejo Nacional de Investigaciones Científicas y Técnicas 
536 |a Detalles de la financiación: This work was partially supported by ADVANCE- NSF, UBACyT X098, UBACyT X202 and CONICET. 
593 |a Departamento de Física, Facultad de Ciencias Exactas y Naturales, Pabellón I, 1428, Buenos Aires, Argentina 
593 |a CONICET Rivadavia, 1917, Buenos Aires, Argentina 
593 |a Department of Mathematical Sciences, New Mexico State University, Las Cruces, NM 88003-8001, United States 
593 |a Departamento de Matemática, Facultad de Ciencias Exactas y Naturales, Pabellón I, 1428 Buenos Aires, Argentina 
651 4 |a LATIN AMERICAN INDICES 
651 4 |a LATIN AMERICAN INDICES 
690 1 0 |a ECONOPHYSICS 
690 1 0 |a INTERMITTENCE 
690 1 0 |a SCALE INVARIANCE 
690 1 0 |a STOCK MARKET PRICES 
690 1 0 |a INDUSTRIAL ECONOMICS 
690 1 0 |a INVARIANCE 
690 1 0 |a MARKETING 
690 1 0 |a MATHEMATICAL MODELS 
690 1 0 |a ECONOPHYSICS 
690 1 0 |a INTERMITTENCE 
690 1 0 |a SCALE INVARIANCE 
690 1 0 |a STOCK MARKET PRICES 
690 1 0 |a INSTRUMENT SCALES 
700 1 |a Furman, N. 
700 1 |a Liu, Y. 
700 1 |a Mariani, C. 
700 1 |a Rial, D. 
773 0 |d 2006  |g v. 359  |h pp. 576-588  |k n. 1-4  |p Phys A Stat Mech Appl  |x 03784371  |w (AR-BaUEN)CENRE-280  |t Physica A: Statistical Mechanics and its Applications 
856 4 1 |u https://www.scopus.com/inward/record.uri?eid=2-s2.0-27344444323&doi=10.1016%2fj.physa.2005.04.034&partnerID=40&md5=7ff31ae10d43127cc8c4a29e89fb988e  |y Registro en Scopus 
856 4 0 |u https://doi.org/10.1016/j.physa.2005.04.034  |y DOI 
856 4 0 |u https://hdl.handle.net/20.500.12110/paper_03784371_v359_n1-4_p576_Ferraro  |y Handle 
856 4 0 |u https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_03784371_v359_n1-4_p576_Ferraro  |y Registro en la Biblioteca Digital 
961 |a paper_03784371_v359_n1-4_p576_Ferraro  |b paper  |c PE 
962 |a info:eu-repo/semantics/article  |a info:ar-repo/semantics/artículo  |b info:eu-repo/semantics/publishedVersion 
963 |a VARI 
999 |c 68301 

Ejemplares similares