Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash

Autores
Ferraro, Marta Beatriz; Furman, Nicolas; Liu, Yang; Mariani, Maria Cristina; Rial, Diego Fernando
Año de publicación
2006
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
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.
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
Fil: Furman, Nicolas. 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: Liu, Yang. New Mexico State University Las Cruces; México
Fil: Mariani, Maria Cristina. New Mexico State University Las Cruces; México
Fil: Rial, Diego Fernando. 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
Econophysics
Intermittence
Latin American Indices
Scale Invariance
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:11336/71833
Acceder
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repository_id_str 3498
network_name_str CONICET Digital (CONICET)
spelling Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crashFerraro, Marta BeatrizFurman, NicolasLiu, YangMariani, Maria CristinaRial, Diego FernandoEconophysicsIntermittenceLatin American IndicesScale InvarianceStock Market Priceshttps://purl.org/becyt/ford/1.3https://purl.org/becyt/ford/1This 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.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; ArgentinaFil: Furman, Nicolas. 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: Liu, Yang. New Mexico State University Las Cruces; MéxicoFil: Mariani, Maria Cristina. New Mexico State University Las Cruces; MéxicoFil: Rial, Diego Fernando. 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 Science2006-12info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/71833Ferraro, 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; 576-5880378-4371CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/doi/10.1016/j.physa.2005.04.034info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-29T09:37:05Zoai:ri.conicet.gov.ar:11336/71833instacron: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 09:37:05.978CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash
title Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash
spellingShingle Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash
Ferraro, Marta Beatriz
Econophysics
Intermittence
Latin American Indices
Scale Invariance
Stock Market Prices
title_short Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash
title_full Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash
title_fullStr Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash
title_full_unstemmed Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash
title_sort Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash
dc.creator.none.fl_str_mv Ferraro, Marta Beatriz
Furman, Nicolas
Liu, Yang
Mariani, Maria Cristina
Rial, Diego Fernando
author Ferraro, Marta Beatriz
author_facet Ferraro, Marta Beatriz
Furman, Nicolas
Liu, Yang
Mariani, Maria Cristina
Rial, Diego Fernando
author_role author
author2 Furman, Nicolas
Liu, Yang
Mariani, Maria Cristina
Rial, Diego Fernando
author2_role author
author
author
author
dc.subject.none.fl_str_mv Econophysics
Intermittence
Latin American Indices
Scale Invariance
Stock Market Prices
topic Econophysics
Intermittence
Latin American Indices
Scale Invariance
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 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.
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
Fil: Furman, Nicolas. 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: Liu, Yang. New Mexico State University Las Cruces; México
Fil: Mariani, Maria Cristina. New Mexico State University Las Cruces; México
Fil: Rial, Diego Fernando. 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 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.
publishDate 2006
dc.date.none.fl_str_mv 2006-12
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/11336/71833
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
url http://hdl.handle.net/11336/71833
identifier_str_mv 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
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.2005.04.034
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
_version_ 1844613167332720640
score 13.070432

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