Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
978822 | Physica A: Statistical Mechanics and its Applications | 2006 | 13 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Marta Ferraro, Nicolas Furman, Yang Liu, Cristina Mariani, Diego Rial,