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Abstract:

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.

Registro:

Documento: Artículo
Título:Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash
Autor:Ferraro, M.; Furman, N.; Liu, Y.; Mariani, C.; Rial, D.
Filiación:Departamento de Física, Facultad de Ciencias Exactas y Naturales, Pabellón I, 1428, Buenos Aires, Argentina
CONICET Rivadavia, 1917, Buenos Aires, Argentina
Department of Mathematical Sciences, New Mexico State University, Las Cruces, NM 88003-8001, United States
Departamento de Matemática, Facultad de Ciencias Exactas y Naturales, Pabellón I, 1428 Buenos Aires, Argentina
Palabras clave:Econophysics; Intermittence; Latin American indices; Scale invariance; Stock market prices; Industrial economics; Invariance; Marketing; Mathematical models; Econophysics; Intermittence; Latin American indices; Scale invariance; Stock market prices; Instrument scales
Año:2006
Volumen:359
Número:1-4
Página de inicio:576
Página de fin:588
DOI: http://dx.doi.org/10.1016/j.physa.2005.04.034
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_v359_n1-4_p576_Ferraro

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Citas:

---------- APA ----------
Ferraro, M., Furman, N., Liu, Y., Mariani, C. & Rial, D. (2006) . Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash. Physica A: Statistical Mechanics and its Applications, 359(1-4), 576-588.
http://dx.doi.org/10.1016/j.physa.2005.04.034
---------- CHICAGO ----------
Ferraro, M., Furman, N., Liu, Y., Mariani, C., Rial, D. "Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash" . Physica A: Statistical Mechanics and its Applications 359, no. 1-4 (2006) : 576-588.
http://dx.doi.org/10.1016/j.physa.2005.04.034
---------- MLA ----------
Ferraro, M., Furman, N., Liu, Y., Mariani, C., Rial, D. "Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash" . Physica A: Statistical Mechanics and its Applications, vol. 359, no. 1-4, 2006, pp. 576-588.
http://dx.doi.org/10.1016/j.physa.2005.04.034
---------- VANCOUVER ----------
Ferraro, M., Furman, N., Liu, Y., Mariani, C., Rial, D. Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash. Phys A Stat Mech Appl. 2006;359(1-4):576-588.
http://dx.doi.org/10.1016/j.physa.2005.04.034