Long correlations and truncated Levy walks applied to the study Latin-American market indices

Autores
Jaroszewicz, Sebastian; Mariani, Maria Cristina; Ferraro, Marta Beatriz
Año de publicación
2005
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
This work is devoted to the study of long correlations and other statistical properties of Latin-American market indices. We concluded that the behavior of the return is compatible with a slow convergence to a Gaussian distribution. We also detected long-range correlations in the absolute value of the return analyzing the effects of working with short data series. This fact has relevant consequences in the volatility dynamics. © 2005 Elsevier B.V. All rights reserved.
Fil: Jaroszewicz, Sebastian. Universidad de Buenos Aires; Argentina
Fil: Mariani, Maria Cristina. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Ciudad Universitaria. Instituto de Física de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales. Instituto de Física de Buenos Aires; Argentina
Fil: Ferraro, Marta Beatriz. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Ciudad Universitaria. Instituto de Física de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales. Instituto de Física de Buenos Aires; Argentina
Materia
DETRENDED FLUCTUATION ANALYSIS
ECONOPHYSICS
LATIN-AMERICAN INDICES
LEVY FLIGHT
STOCK MARKET PRICES
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/73153
Acceder
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network_acronym_str CONICETDig
repository_id_str 3498
network_name_str CONICET Digital (CONICET)
spelling Long correlations and truncated Levy walks applied to the study Latin-American market indicesJaroszewicz, SebastianMariani, Maria CristinaFerraro, Marta BeatrizDETRENDED FLUCTUATION ANALYSISECONOPHYSICSLATIN-AMERICAN INDICESLEVY FLIGHTSTOCK MARKET PRICEShttps://purl.org/becyt/ford/1.3https://purl.org/becyt/ford/1This work is devoted to the study of long correlations and other statistical properties of Latin-American market indices. We concluded that the behavior of the return is compatible with a slow convergence to a Gaussian distribution. We also detected long-range correlations in the absolute value of the return analyzing the effects of working with short data series. This fact has relevant consequences in the volatility dynamics. © 2005 Elsevier B.V. All rights reserved.Fil: Jaroszewicz, Sebastian. Universidad de Buenos Aires; ArgentinaFil: Mariani, Maria Cristina. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Ciudad Universitaria. Instituto de Física de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales. Instituto de Física de Buenos Aires; ArgentinaFil: Ferraro, Marta Beatriz. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Ciudad Universitaria. Instituto de Física de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales. Instituto de Física de Buenos Aires; ArgentinaElsevier Science2005-12info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/73153Jaroszewicz, Sebastian; Mariani, Maria Cristina; Ferraro, Marta Beatriz; Long correlations and truncated Levy walks applied to the study Latin-American market indices; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 355; 2-4; 12-2005; 461-4740378-4371CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/doi/10.1016/j.physa.2005.04.003info:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/abs/pii/S0378437105003055info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-29T09:43:11Zoai:ri.conicet.gov.ar:11336/73153instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-29 09:43:12.278CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Long correlations and truncated Levy walks applied to the study Latin-American market indices
title Long correlations and truncated Levy walks applied to the study Latin-American market indices
spellingShingle Long correlations and truncated Levy walks applied to the study Latin-American market indices
Jaroszewicz, Sebastian
DETRENDED FLUCTUATION ANALYSIS
ECONOPHYSICS
LATIN-AMERICAN INDICES
LEVY FLIGHT
STOCK MARKET PRICES
title_short Long correlations and truncated Levy walks applied to the study Latin-American market indices
title_full Long correlations and truncated Levy walks applied to the study Latin-American market indices
title_fullStr Long correlations and truncated Levy walks applied to the study Latin-American market indices
title_full_unstemmed Long correlations and truncated Levy walks applied to the study Latin-American market indices
title_sort Long correlations and truncated Levy walks applied to the study Latin-American market indices
dc.creator.none.fl_str_mv Jaroszewicz, Sebastian
Mariani, Maria Cristina
Ferraro, Marta Beatriz
author Jaroszewicz, Sebastian
author_facet Jaroszewicz, Sebastian
Mariani, Maria Cristina
Ferraro, Marta Beatriz
author_role author
author2 Mariani, Maria Cristina
Ferraro, Marta Beatriz
author2_role author
author
dc.subject.none.fl_str_mv DETRENDED FLUCTUATION ANALYSIS
ECONOPHYSICS
LATIN-AMERICAN INDICES
LEVY FLIGHT
STOCK MARKET PRICES
topic DETRENDED FLUCTUATION ANALYSIS
ECONOPHYSICS
LATIN-AMERICAN INDICES
LEVY FLIGHT
STOCK MARKET PRICES
purl_subject.fl_str_mv https://purl.org/becyt/ford/1.3
https://purl.org/becyt/ford/1
dc.description.none.fl_txt_mv This work is devoted to the study of long correlations and other statistical properties of Latin-American market indices. We concluded that the behavior of the return is compatible with a slow convergence to a Gaussian distribution. We also detected long-range correlations in the absolute value of the return analyzing the effects of working with short data series. This fact has relevant consequences in the volatility dynamics. © 2005 Elsevier B.V. All rights reserved.
Fil: Jaroszewicz, Sebastian. Universidad de Buenos Aires; Argentina
Fil: Mariani, Maria Cristina. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Ciudad Universitaria. Instituto de Física de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales. Instituto de Física de Buenos Aires; Argentina
Fil: Ferraro, Marta Beatriz. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Ciudad Universitaria. Instituto de Física de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales. Instituto de Física de Buenos Aires; Argentina
description This work is devoted to the study of long correlations and other statistical properties of Latin-American market indices. We concluded that the behavior of the return is compatible with a slow convergence to a Gaussian distribution. We also detected long-range correlations in the absolute value of the return analyzing the effects of working with short data series. This fact has relevant consequences in the volatility dynamics. © 2005 Elsevier B.V. All rights reserved.
publishDate 2005
dc.date.none.fl_str_mv 2005-12
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/73153
Jaroszewicz, Sebastian; Mariani, Maria Cristina; Ferraro, Marta Beatriz; Long correlations and truncated Levy walks applied to the study Latin-American market indices; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 355; 2-4; 12-2005; 461-474
0378-4371
CONICET Digital
CONICET
url http://hdl.handle.net/11336/73153
identifier_str_mv Jaroszewicz, Sebastian; Mariani, Maria Cristina; Ferraro, Marta Beatriz; Long correlations and truncated Levy walks applied to the study Latin-American market indices; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 355; 2-4; 12-2005; 461-474
0378-4371
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/doi/10.1016/j.physa.2005.04.003
info:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/abs/pii/S0378437105003055
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Elsevier Science
publisher.none.fl_str_mv Elsevier Science
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
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score 13.070432

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