کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
978822 | 1480201 | 2006 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 359, 1 January 2006, Pages 576-588
Journal: Physica A: Statistical Mechanics and its Applications - Volume 359, 1 January 2006, Pages 576-588
نویسندگان
Marta Ferraro, Nicolas Furman, Yang Liu, Cristina Mariani, Diego Rial,