Long correlations and truncated Levy walks applied to the study Latin-American market indices

Sebastian Jaroszewicz, M. Cristina Mariani and Marta Ferraro

Physica A: Statistical Mechanics and its Applications, 2005, vol. 355, issue 2, 461-474

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.

Keywords: Levy flight; Econophysics; Detrended fluctuation analysis; Stock market prices; Latin-American indices (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:355:y:2005:i:2:p:461-474

DOI: 10.1016/j.physa.2005.04.003

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