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
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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
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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
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Volumen: | 355
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Número: | 2-4
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Página de inicio: | 461
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Página de fin: | 474
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DOI: |
http://dx.doi.org/10.1016/j.physa.2005.04.003 |
Título revista: | Physica A: Statistical Mechanics and its Applications
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Título revista abreviado: | Phys A Stat Mech Appl
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ISSN: | 03784371
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CODEN: | PHYAD
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Registro: | https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_03784371_v355_n2-4_p461_Jaroszewicz |
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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