Long correlations and truncated Levy walks applied to the study Latin-American market indices
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 t...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2005 |
| País: | Argentina |
| Institución: | Consejo Nacional de Investigaciones Científicas y Técnicas |
| Repositorio: | CONICET Digital (CONICET) |
| Idioma: | inglés |
| OAI Identifier: | oai:ri.conicet.gov.ar:11336/73153 |
| Acceso en línea: | http://hdl.handle.net/11336/73153 |
| Access Level: | acceso abierto |
| Palabra clave: | DETRENDED FLUCTUATION ANALYSIS ECONOPHYSICS LATIN-AMERICAN INDICES LEVY FLIGHT STOCK MARKET PRICES https://purl.org/becyt/ford/1.3 https://purl.org/becyt/ford/1 |
| Sumario: | 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. © 2005 Elsevier B.V. All rights reserved. |
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