Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash
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DOI: 10.1016/j.physa.2005.04.034
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References listed on IDEAS
- repec:cup:cbooks:9780521039871 is not listed on IDEAS
- M. G. Figueroa & M. C. Mariani & M. B. Ferraro, 2003. "The Effects of the Asian Crisis of 1997 on Emergent Markets Through a Critical Phenomena Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(06), pages 605-612.
- repec:cup:cbooks:9780521620086 is not listed on IDEAS
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Cited by:
- Mariani, Maria Cristina & Liu, Yang, 2006. "A new analysis of intermittence, scale invariance and characteristic scales applied to the behavior of financial indices near a crash," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 345-352.
- Maria Pia Beccar Varela & Francis Biney & Ionut Florescu, 2015. "Long correlations and fractional difference analysis applied to the study of memory effects in high-frequency (tick) data," Quantitative Finance, Taylor & Francis Journals, vol. 15(8), pages 1365-1374, August.
- Mariani, M.C. & Florescu, I. & Beccar Varela, M.P. & Ncheuguim, E., 2010. "Study of memory effects in international market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(8), pages 1653-1664.
- Mariani, M.C. & Florescu, I. & SenGupta, I. & Beccar Varela, M.P. & Bezdek, P. & Serpa, L., 2013. "Lévy models and scale invariance properties applied to Geophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 824-839.
- Habtemicael, Semere & SenGupta, Indranil, 2014. "Ornstein–Uhlenbeck processes for geophysical data analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 399(C), pages 147-156.
- Mariani, M.C. & Liu, Y., 2007. "Normalized truncated Levy walks applied to the study of financial indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(2), pages 590-598.
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Keywords
Econophysics; Scale invariance; Intermittence; Stock market prices; Latin American indices;All these keywords.
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