کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
976687 | 933147 | 2010 | 8 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Stock markets and criticality in the current economic crisis Stock markets and criticality in the current economic crisis](/preview/png/976687.png)
We show that the current economic crisis has led the market to exhibit a non-critical behavior. We do so by analyzing the quantitative parameters of time series from the main assets of the Brazilian Stock Market BOVESPA. By monitoring global persistence we show a deviation of power law behavior during the crisis in a strong analogy with spin systems (from where this concept was originally conceived). Such behavior is corroborated by an emergent heavy tail of absolute return distribution and also by the magnitude autocorrelation exponent. Comparisons with universal exponents obtained in the international stock markets are also performed. This suggests how a thorough analysis of suitable exponents can bring a possible way of forecasting market crises characterized by non-criticality.
Journal: Physica A: Statistical Mechanics and its Applications - Volume 389, Issue 23, 1 December 2010, Pages 5460–5467