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

Ferraro M; Furman N; Liu Y; Mariani C; Rial D

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

机译：碰撞附近主要指标行为的间歇性，尺度不变性和特征尺度分析

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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. (c) 2005 Elsevier B.V. All rights reserved.

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《Physica, A. Statistical mechanics and its applications》 |2006年第0期|共13页
作者
Ferraro M; Furman N; Liu Y; Mariani C; Rial D;
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正文语种 eng
中图分类理论物理学;
关键词
econophysics; scale invariance; intermittence; stock market prices; Latin American indices; GRAVITATIONAL COLLAPSE; STATISTICAL PHYSICS; ECONOPHYSICS; CONTRIBUTE; TURBULENCE; ECONOMICS; SCIENCE;

机译：经济物理学;尺度不变性;间歇性;股票市场价格;拉丁美洲指数;重力崩溃;统计物理学;经济物理学;贡献;湍流;经济;科学;

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机译：碰撞附近主要指标行为的间歇性，尺度不变性和特征尺度分析
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Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash

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