Artículo

Zunino, L.; Figliola, A.; Tabak, B.M.; Pérez, D.G.; Garavaglia, M.; Rosso, O.A. "Multifractal structure in Latin-American market indices" (2009) Chaos, Solitons and Fractals. 41(5):2331-2340
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Abstract:

We study the multifractal nature of daily price and volatility returns of Latin-American stock markets employing the multifractal detrended fluctuation analysis. Comparing with the results obtained for a developed country (US) we conclude that the multifractality degree is higher for emerging markets. Moreover, we propose a stock market inefficiency ranking by considering the multifractality degree as a measure of inefficiency. Finally, we analyze the sources of multifractality quantifying the contributions of two factors, the long-range correlations of the time series and the broad fat-tail distributions. We find that the multifractal structure of Latin-American market indices can be mainly attributed to the latter. © 2008 Elsevier Ltd. All rights reserved.

Registro:

Documento: Artículo
Título:Multifractal structure in Latin-American market indices
Autor:Zunino, L.; Figliola, A.; Tabak, B.M.; 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
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
Banco Central do Brasil, SBS Quadra 3, Bloco B, 13 andar, DF 70074-900, Brazil
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 Autonoma de Buenos Aires, Argentina
Universidade Catolica de Brasilia, Brasilia, DF, Brazil
Palabras clave:Developed countries; Emerging markets; Fat tails; Long range correlations; Multi fractals; Multifractal detrended fluctuation analysis; Multifractal structure; Multifractality; Stock market; Commerce
Año:2009
Volumen:41
Número:5
Página de inicio:2331
Página de fin:2340
DOI: http://dx.doi.org/10.1016/j.chaos.2008.09.013
Título revista:Chaos, Solitons and Fractals
Título revista abreviado:Chaos Solitons Fractals
ISSN:09600779
CODEN:CSFOE
Registro:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_09600779_v41_n5_p2331_Zunino

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Citas:

---------- APA ----------
Zunino, L., Figliola, A., Tabak, B.M., Pérez, D.G., Garavaglia, M. & Rosso, O.A. (2009) . Multifractal structure in Latin-American market indices. Chaos, Solitons and Fractals, 41(5), 2331-2340.
http://dx.doi.org/10.1016/j.chaos.2008.09.013
---------- CHICAGO ----------
Zunino, L., Figliola, A., Tabak, B.M., Pérez, D.G., Garavaglia, M., Rosso, O.A. "Multifractal structure in Latin-American market indices" . Chaos, Solitons and Fractals 41, no. 5 (2009) : 2331-2340.
http://dx.doi.org/10.1016/j.chaos.2008.09.013
---------- MLA ----------
Zunino, L., Figliola, A., Tabak, B.M., Pérez, D.G., Garavaglia, M., Rosso, O.A. "Multifractal structure in Latin-American market indices" . Chaos, Solitons and Fractals, vol. 41, no. 5, 2009, pp. 2331-2340.
http://dx.doi.org/10.1016/j.chaos.2008.09.013
---------- VANCOUVER ----------
Zunino, L., Figliola, A., Tabak, B.M., Pérez, D.G., Garavaglia, M., Rosso, O.A. Multifractal structure in Latin-American market indices. Chaos Solitons Fractals. 2009;41(5):2331-2340.
http://dx.doi.org/10.1016/j.chaos.2008.09.013