Lévy models and scale invariance properties applied to Geophysics
Author
Abstract
Suggested Citation
DOI: 10.1016/j.physa.2012.11.007
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Mariani, M.C. & Liu, Y., 2007. "A new analysis of the effects of the Asian crisis of 1997 on emergent markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 380(C), pages 307-316.
- 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.
- 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.
- 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.
- 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.
- Sornette, Didier & Johansen, Anders, 1997. "Large financial crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 245(3), pages 411-422.
- 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.
- Anders Johansen & Olivier Ledoit & Didier Sornette, 2000.
"Crashes As Critical Points,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 219-255.
- Johansen, Anders & Ledoit, Olivier & Sornette, Didier, 1998. "Crashes at Critical Points," University of California at Los Angeles, Anderson Graduate School of Management qt2s77r0rk, Anderson Graduate School of Management, UCLA.
- Mantegna,Rosario N. & Stanley,H. Eugene, 2007.
"Introduction to Econophysics,"
Cambridge Books,
Cambridge University Press, number 9780521039871, October.
- Mantegna,Rosario N. & Stanley,H. Eugene, 1999. "Introduction to Econophysics," Cambridge Books, Cambridge University Press, number 9780521620086, September.
- Mariani, M.C. & Bezdek, P. & Serpa, L. & Florescu, I., 2011. "Ising type models applied to Geophysics and high frequency market data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4396-4402.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Kanadpriya Basu & Maria C. Mariani & Laura Serpa & Ritwik Sinha, 2015. "Evaluation of Interpolants in Their Ability to Fit Seismometric Time Series," Mathematics, MDPI, vol. 3(3), pages 1-24, August.
- Mariani, Maria C. & Tweneboah, Osei K., 2016. "Stochastic differential equations applied to the study of geophysical and financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 443(C), pages 170-178.
- Beccar-Varela, Maria P. & Mariani, Maria C. & Tweneboah, Osei K. & Florescu, Ionut, 2017. "Analysis of the Lehman Brothers collapse and the Flash Crash event by applying wavelets methodologies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 474(C), pages 162-171.
- Beccar-Varela, Maria P. & Gonzalez-Huizar, Hector & Mariani, Maria C. & Tweneboah, Osei K., 2016. "Use of wavelets techniques to discriminate between explosions and natural earthquakes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 42-51.
- Mariani, Maria C. & Basu, Kanadpriya, 2015. "Spline interpolation techniques applied to the study of geophysical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 68-79.
- 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.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- 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. & 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, Maria C. & Basu, Kanadpriya, 2015. "Spline interpolation techniques applied to the study of geophysical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 68-79.
- 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. & 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.
- Mariani, M.C. & Bezdek, P. & Serpa, L. & Florescu, I., 2011. "Ising type models applied to Geophysics and high frequency market data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4396-4402.
- B. M. Roehner & D. Sornette, 2000. ""Thermometers" of Speculative Frenzy," Papers cond-mat/0001353, arXiv.org.
- Wosnitza, Jan Henrik & Leker, Jens, 2014. "Can log-periodic power law structures arise from random fluctuations?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 228-250.
- John M. Fry, 2009.
"Statistical modelling of financial crashes: Rapid growth, illusion of certainty and contagion,"
EERI Research Paper Series
EERI_RP_2009_10, Economics and Econometrics Research Institute (EERI), Brussels.
- Fry, J. M., 2009. "Statistical modelling of financial crashes: Rapid growth, illusion of certainty and contagion," MPRA Paper 16027, University Library of Munich, Germany.
- Sornette, Didier & Woodard, Ryan & Zhou, Wei-Xing, 2009. "The 2006–2008 oil bubble: Evidence of speculation, and prediction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1571-1576.
- Sornette, Didier & Woodard, Ryan & Yan, Wanfeng & Zhou, Wei-Xing, 2013. "Clarifications to questions and criticisms on the Johansen–Ledoit–Sornette financial bubble model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4417-4428.
- Wanfeng Yan & Ryan Woodard & Didier Sornette, 2010.
"Diagnosis and Prediction of Market Rebounds in Financial Markets,"
Papers
1003.5926, arXiv.org, revised Mar 2011.
- Wanfeng YAN & Ryan WOODARD & Didier SORNETTE, 2010. "Diagnosis and Prediction of Market Rebounds in Financial Markets," Swiss Finance Institute Research Paper Series 10-15, Swiss Finance Institute.
- Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
- Mariani, M.C. & Florescu, I. & Beccar Varela, M.P. & Ncheuguim, E., 2009. "Long correlations and Levy models applied to the study of memory effects in high frequency (tick) data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1659-1664.
- Zitis, Pavlos I. & Contoyiannis, Yiannis & Potirakis, Stelios M., 2022. "Critical dynamics related to a recent Bitcoin crash," International Review of Financial Analysis, Elsevier, vol. 84(C).
- Grobys, Klaus, 2023. "A finite-time singularity in the dynamics of the US equity market: Will the US equity market eventually collapse?," International Review of Financial Analysis, Elsevier, vol. 89(C).
- Zhou, Wei-Xing & Sornette, Didier, 2004.
"Antibubble and prediction of China's stock market and real-estate,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(1), pages 243-268.
- W. -X. Zhou & D. Sornette, 2003. "Antibubble and Prediction of China's stock market and Real-Estate," Papers cond-mat/0312149, arXiv.org.
- Johansen, Anders & Sornette, Didier, 2001. "Finite-time singularity in the dynamics of the world population, economic and financial indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 294(3), pages 465-502.
- Zhou, Wei-Xing & Sornette, Didier, 2004.
"Causal slaving of the US treasury bond yield antibubble by the stock market antibubble of August 2000,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(3), pages 586-608.
- W. -X. Zhou & D. Sornette, 2003. "Causal Slaving of the U.S. Treasury Bond Yield Antibubble by the Stock Market Antibubble of August 2000," Papers cond-mat/0312658, arXiv.org.
- Mariani, M.C. & Liu, Y., 2007. "A new analysis of the effects of the Asian crisis of 1997 on emergent markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 380(C), pages 307-316.
More about this item
Keywords
Scale invariance; Critical phenomena; Intermittence; Lévy models; Geophysics;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:392:y:2013:i:4:p:824-839. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.