info:eu-repo/semantics/article
Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash
Fecha
2006-12Registro en:
Ferraro, Marta Beatriz; Furman, Nicolas; Liu, Yang; Mariani, Maria Cristina; Rial, Diego Fernando; Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 359; 1-4; 12-2006; 576-588
0378-4371
CONICET Digital
CONICET
Autor
Ferraro, Marta Beatriz
Furman, Nicolas
Liu, Yang
Mariani, Maria Cristina
Rial, Diego Fernando
Resumen
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.