Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash

Marta Ferraro, Nicolas Furman, Yang Liu, Cristina Mariani and Diego Rial

Physica A: Statistical Mechanics and its Applications, 2006, vol. 359, issue C, 576-588

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.

Keywords: Econophysics; Scale invariance; Intermittence; Stock market prices; Latin American indices (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:359:y:2006:i:c:p:576-588

DOI: 10.1016/j.physa.2005.04.034

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