Navegar

Colección

Datos Estadísticas

Artículo

La versión final de este artículo es de uso interno. El editor solo permite incluir en el repositorio el artículo en su versión post-print. Por favor, si usted la posee enviela a
Consulte el artículo en la página del editor
Consulte la política de Acceso Abierto del editor

Abstract:

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.

Registro:

Documento: Artículo
Título:Long correlations and truncated Levy walks applied to the study Latin-American market indices
Autor:Jaroszewicz, S.; Mariani, M.C.; Ferraro, M.
Filiación:Departamento de Física, Facultad de Ciencias Exactas y Naturales, Universidad de Buenos Aires, Ciudad Universitaria Pab. I (1428), Buenos Aires, Argentina
Department of Mathematical Sciences, New Mexico State University, Las Cruces, NM 88003-8001, United States
CONICET, Argentina
Palabras clave:Detrended fluctuation analysis; Econophysics; Latin-American indices; Levy flight; Stock market prices; Detrended fluctuation analysis; Econophysics; Latin-American indices; Levy flight; Stock market prices; Brownian movement; Correlation methods; Economics; Inventory control; Marketing; Probabilistic logics; Random processes; Statistical methods; Finance
Año:2005
Volumen:355
Número:2-4
Página de inicio:461
Página de fin:474
DOI: http://dx.doi.org/10.1016/j.physa.2005.04.003
Título revista:Physica A: Statistical Mechanics and its Applications
Título revista abreviado:Phys A Stat Mech Appl
ISSN:03784371
CODEN:PHYAD
Registro:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_03784371_v355_n2-4_p461_Jaroszewicz

Referencias:

  • Mantegna, R.N., Stanley, H.E., (1999) An Introduction to Econophysics: Correlations and Complexity in Finance, , Cambridge University Press Cambridge
  • Stanley, H.E., Amaral, L.A.N., Canning, D., Gopikrishnan, P., Lee, Y., Liu, Y., (1999) Phys. A, 269, p. 156
  • Ausloos, M., Vandewalle, N., Boveroux, Ph., Minguet, A., Ivanova, K., (1999) Phys. A, 274, p. 229
  • Bouchaud, J.-Ph., Potters, M., (1997) Théorie des Riques Financiers, , Alea-Saclay/Eyrolles Paris
  • Mantegna, R.N., Stanley, H.E., (1995) Nature, 376, p. 46
  • Willmott, P., Dewynne, J.N., Howison, S.D., (1993) Option Pricing: Mathematical Models and Computation, , Oxford Financial Press Oxford
  • Mandelbrot, B.B., (1963) J. Business, 36, p. 394
  • Levy, P., (1937) Théorie de l'Addition des Variables Aléatoires, , Gauthier-Villars Paris
  • Mantegna, R.N., Stanley, H.E., (1994) Phys. Rev. Lett., 73, p. 2946
  • Levy, P., (1925) Calcul des Probabilités, , Gauthier-Villars Paris
  • Khintchine, A.Ya., Levy, P., Sur les lois stables (1936) C. R. Acad. Sci. Paris, 202, p. 374
  • Koponen, I., (1995) Phys. Rev. E, 52, p. 1197
  • Weron, R., (2001) Int. J. Modern Phys. C, 12 (2), pp. 209-223
  • Gopikrishnan, P., Plerou, V., Amaral, L.A.N., Mayer, M., Stanley, H.E., (1999) Phys. Rev. E, 60 (5), p. 5305
  • Peng, C.K., Buldyrev, S.V., Havlin, S., Simons, M., Stanley, H.E., Goldberger, A.L., (1994) Phys. Rev. E, 49, p. 1685
  • Buldyrev, S.V., Goldberger, A.L., Havlin, S., Mantegna, R.N., Matsa, M.E., Peng, C.K., Simons, M., Stanley, H.E., (1995) Phys. Rev. E, 51, p. 5084
  • Peng, C.K., Buldyrev, S.V., Goldberger, A.L., Mantegna, R.N., Simons, M., Stanley, H.E., (1995) Phys. A, 221, p. 180
  • Peng, C.K., Mietus, J., Hausdorff, J.M., Havlin, S., Stanley, H.E., Goldberger, A.L., (1993) Phys. Rev. Lett., 70, p. 1343
  • Peng, C.K., Havlin, S., Stanley, H.E., Goldberger, A.L., (1995) Chaos, 5, p. 82
  • Koscienly-Bunde, E., Roman, H.E., Bunde, A., Havlin, S., Schellnhuber, H.J., (1998) Philos. Mag. B, 77, p. 1331
  • Koscienly-Bunde, E., Bunde, A., Havlin, S., Roman, H.E., Goldreich, Y., Schellnhuber, H.J., (1998) Phys. Rev. Lett., 81, p. 729
  • Kantelhardt, J.W., Berkovits, R., Havlin, S., Bunde, A., (1999) Phys. A, 266, p. 461
  • Vandewalle, N., Ausloos, M., Houssa, M., Mertens, P.W., Heyns, M.M., (1999) Appl. Phys. Lett., 74, p. 1579
  • Liu, Y.H., Cizeau, P., Meyer, M., Peng, C.K., Stanley, H.E., (1997) Phys. A, 245, p. 437
  • Cizeau, P., Liu, Y.H., Meyer, M., Peng, C.K., Stanley, H.E., (1997) Phys. A, 245, p. 441
  • Ausloos, M., Vandewalle, N., Boveroux, P., Minguet, A., Ivanova, K., (1999) Phys. A, 274, p. 229
  • Ausloos, M., Ivanova, K., (2000) Phys. A, 286, p. 353
  • Amaral, L.A.N., Cizeau, P., Gopikrishnan, P., Liu, Y., Meyer, M., Peng, C.K., Stanley, H.E., (1999) Comput. Phys. Commun., 121-122, p. 145

Citas:

---------- APA ----------
Jaroszewicz, S., Mariani, M.C. & Ferraro, M. (2005) . Long correlations and truncated Levy walks applied to the study Latin-American market indices. Physica A: Statistical Mechanics and its Applications, 355(2-4), 461-474.
http://dx.doi.org/10.1016/j.physa.2005.04.003
---------- CHICAGO ----------
Jaroszewicz, S., Mariani, M.C., Ferraro, M. "Long correlations and truncated Levy walks applied to the study Latin-American market indices" . Physica A: Statistical Mechanics and its Applications 355, no. 2-4 (2005) : 461-474.
http://dx.doi.org/10.1016/j.physa.2005.04.003
---------- MLA ----------
Jaroszewicz, S., Mariani, M.C., Ferraro, M. "Long correlations and truncated Levy walks applied to the study Latin-American market indices" . Physica A: Statistical Mechanics and its Applications, vol. 355, no. 2-4, 2005, pp. 461-474.
http://dx.doi.org/10.1016/j.physa.2005.04.003
---------- VANCOUVER ----------
Jaroszewicz, S., Mariani, M.C., Ferraro, M. Long correlations and truncated Levy walks applied to the study Latin-American market indices. Phys A Stat Mech Appl. 2005;355(2-4):461-474.
http://dx.doi.org/10.1016/j.physa.2005.04.003