Long correlations and Normalized Truncated Levy Models applied to the study of Indian Market Indices in comparison with other emerging markets

M.C. Mariani, J.D. Libbin, V. Kumar Mani, M.P. Beccar Varela, C.A. Erickson and D.J. Valles-Rosales

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 5, 1273-1282

Abstract: This work is devoted to the study of long correlations and other statistical properties of the Indian Market Indices in comparison to other emerging market indices. We verified that the behavior of the return is compatible with a Normalized Truncated Levy Flight. We also detected long-range correlations in the absolute value of the return. Finally, we concluded that the statistical behavior of emerging markets is similar to the behavior of developed economies.

Keywords: Levy flight; Econophysics; Detrended Fluctuation Analysis; Emerging Market Indices; Indian Stock Indices (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:5:p:1273-1282

DOI: 10.1016/j.physa.2007.10.064

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