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Normalized truncated Levy walks applied to the study of financial indices

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  • Mariani, M.C.
  • Liu, Y.

Abstract

This work is devoted to the study of the statistical properties of financial indices from developed and emergent markets.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:phsmap:v:377:y:2007:i:2:p:590-598
    DOI: 10.1016/j.physa.2006.11.066
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    References listed on IDEAS

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    1. Stanley, H.E. & Afanasyev, V. & Amaral, L.A.N. & Buldyrev, S.V. & Goldberger, A.L. & Havlin, S. & Leschhorn, H. & Maass, P. & Mantegna, R.N. & Peng, C.-K. & Prince, P.A. & Salinger, M.A. & Stanley, M., 1996. "Anomalous fluctuations in the dynamics of complex systems: from DNA and physiology to econophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 224(1), pages 302-321.
    2. Jaroszewicz, Sebastian & Mariani, M. Cristina & Ferraro, Marta, 2005. "Long correlations and truncated Levy walks applied to the study Latin-American market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(2), pages 461-474.
    3. Sornette, Didier & Johansen, Anders, 1997. "Large financial crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 245(3), pages 411-422.
    4. Ferraro, Marta & Furman, Nicolas & Liu, Yang & Mariani, Cristina & Rial, Diego, 2006. "Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 359(C), pages 576-588.
    5. Mantegna,Rosario N. & Stanley,H. Eugene, 2007. "Introduction to Econophysics," Cambridge Books, Cambridge University Press, number 9780521039871, October.
    6. 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.
    7. Stanley, H.E & Amaral, L.A.N & Canning, D & Gopikrishnan, P & Lee, Y & Liu, Y, 1999. "Econophysics: Can physicists contribute to the science of economics?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 269(1), pages 156-169.
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    Citations

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    Cited by:

    1. E. Barany & M. P. Beccar Varela & I. Florescu & I. Sengupta, 2012. "Detecting market crashes by analysing long-memory effects using high-frequency data," Quantitative Finance, Taylor & Francis Journals, vol. 12(4), pages 623-634, April.
    2. Maria C. Mariani & Peter K. Asante & Md Al Masum Bhuiyan & Maria P. Beccar-Varela & Sebastian Jaroszewicz & Osei K. Tweneboah, 2020. "Long-Range Correlations and Characterization of Financial and Volcanic Time Series," Mathematics, MDPI, vol. 8(3), pages 1-18, March.
    3. Federica De Domenico & Giacomo Livan & Guido Montagna & Oreste Nicrosini, 2023. "Modeling and Simulation of Financial Returns under Non-Gaussian Distributions," Papers 2302.02769, arXiv.org.
    4. Lemmens, D. & Liang, L.Z.J. & Tempere, J. & De Schepper, A., 2010. "Pricing bounds for discrete arithmetic Asian options under Lévy models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(22), pages 5193-5207.
    5. Maria C. Mariani & William Kubin & Peter K. Asante & Osei K. Tweneboah & Maria P. Beccar-Varela & Sebastian Jaroszewicz & Hector Gonzalez-Huizar, 2020. "Self-Similar Models: Relationship between the Diffusion Entropy Analysis, Detrended Fluctuation Analysis and Lévy Models," Mathematics, MDPI, vol. 8(7), pages 1-20, June.
    6. Long, Yu, 2013. "Visibility graph network analysis of gold price time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(16), pages 3374-3384.
    7. Bucsa, G. & Jovanovic, F. & Schinckus, C., 2011. "A unified model for price return distributions used in econophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3435-3443.
    8. De Domenico, Federica & Livan, Giacomo & Montagna, Guido & Nicrosini, Oreste, 2023. "Modeling and simulation of financial returns under non-Gaussian distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 622(C).
    9. 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.
    10. Mariani, M.C. & Libbin, J.D. & Kumar Mani, V. & Beccar Varela, M.P. & Erickson, C.A. & Valles-Rosales, D.J., 2008. "Long correlations and Normalized Truncated Levy Models applied to the study of Indian Market Indices in comparison with other emerging markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(5), pages 1273-1282.
    11. 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.
    12. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.

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