Artículo

Zunino, L.; Tabak, B.M.; Figliola, A.; Pérez, D.G.; Garavaglia, M.; Rosso, O.A. "A multifractal approach for stock market inefficiency" (2008) Physica A: Statistical Mechanics and its Applications. 387(26):6558-6566
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Abstract:

In this paper, the multifractality degree in a collection of developed and emerging stock market indices is evaluated. Empirical results suggest that the multifractality degree can be used as a quantifier to characterize the stage of market development of world stock indices. We develop a model to test the relationship between the stage of market development and the multifractality degree and find robust evidence that the relationship is negative, i.e., higher multifractality is associated with a less developed market. Thus, an inefficiency ranking can be derived from multifractal analysis. Finally, a link with previous volatility time series results is established. © 2008 Elsevier B.V. All rights reserved.

Registro:

Documento: Artículo
Título:A multifractal approach for stock market inefficiency
Autor:Zunino, L.; Tabak, B.M.; Figliola, A.; Pérez, D.G.; Garavaglia, M.; Rosso, O.A.
Filiación:Centro de Investigaciones Ópticas, C.C. 124 Correo Central, 1900 La Plata, Argentina
Departamento de Ciencias Básicas, Facultad de Ingeniería, Universidad Nacional de La Plata (UNLP), 1900 La Plata, Argentina
Departamento de Física, Facultad de Ciencias Exactas, Universidad Nacional de La Plata, 1900 La Plata, Argentina
Banco Central do Brasil, SBS Quadra 3, Bloco B, 9 andar, DF 70074-900, Brazil
Universidade Catolica de Brasilia, Brasilia, DF, Brazil
Chaos and Biology Group, Instituto de Desarrollo Humano, Universidad Nacional de General Sarmiento, Campus Universitario, Modulo 5, Juan Maria Gutierrez 1150, Los Polvorines, Pcia. de Buenos Aires, Argentina
Instituto de Física, Pontificia Universidad Católica de Valparaíso (PUCV), 23-40025 Valparaíso, Chile
Centre for Bioinformatics, Biomarker Discovery and Information-Based Medicine, School of Electrical Engineering and Computer Science, University Drive, Callaghan, NSW 2308, Australia
Chaos and Biology Group, Instituto de Cálculo, Facultad de Ciencias Exactas y Naturales, Pabellon II, Ciudad Universitaria, 1428 Ciudad de Buenos Aires, Argentina
Palabras clave:Multifractal detrended fluctuation analysis; Multifractality degree; Stock market inefficiency; Commerce; Inventory control; Time series analysis; Empirical results; Market developments; Multi fractals; Multifractal Analysis; Multifractal detrended fluctuation analysis; Multifractality; Multifractality degree; Stock indices; Stock market inefficiency; Stock markets; Time-series; Marketing
Año:2008
Volumen:387
Número:26
Página de inicio:6558
Página de fin:6566
DOI: http://dx.doi.org/10.1016/j.physa.2008.08.028
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_v387_n26_p6558_Zunino

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Citas:

---------- APA ----------
Zunino, L., Tabak, B.M., Figliola, A., Pérez, D.G., Garavaglia, M. & Rosso, O.A. (2008) . A multifractal approach for stock market inefficiency. Physica A: Statistical Mechanics and its Applications, 387(26), 6558-6566.
http://dx.doi.org/10.1016/j.physa.2008.08.028
---------- CHICAGO ----------
Zunino, L., Tabak, B.M., Figliola, A., Pérez, D.G., Garavaglia, M., Rosso, O.A. "A multifractal approach for stock market inefficiency" . Physica A: Statistical Mechanics and its Applications 387, no. 26 (2008) : 6558-6566.
http://dx.doi.org/10.1016/j.physa.2008.08.028
---------- MLA ----------
Zunino, L., Tabak, B.M., Figliola, A., Pérez, D.G., Garavaglia, M., Rosso, O.A. "A multifractal approach for stock market inefficiency" . Physica A: Statistical Mechanics and its Applications, vol. 387, no. 26, 2008, pp. 6558-6566.
http://dx.doi.org/10.1016/j.physa.2008.08.028
---------- VANCOUVER ----------
Zunino, L., Tabak, B.M., Figliola, A., Pérez, D.G., Garavaglia, M., Rosso, O.A. A multifractal approach for stock market inefficiency. Phys A Stat Mech Appl. 2008;387(26):6558-6566.
http://dx.doi.org/10.1016/j.physa.2008.08.028