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A new analysis of intermittence, scale invariance and characteristic scales applied to the behavior of financial indices near a crash

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  • Mariani, Maria Cristina
  • Liu, Yang

Abstract

This work is devoted to the study of the relation between intermittence and scale invariance, and applications to the behavior of financial indices near a crash. We developed a numerical analysis that predicts the critical date of a financial index, and we apply the model to the analysis of several financial indices. We were able to obtain optimum values for the critical date, corresponding to the most probable date of the crash. We only used data from before the true crash date in order to obtain the predicted critical date. The good numerical results validate the model.

Suggested Citation

  • Mariani, Maria Cristina & Liu, Yang, 2006. "A new analysis of intermittence, scale invariance and characteristic scales applied to the behavior of financial indices near a crash," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 345-352.
    • Handle: RePEc:eee:phsmap:v:367:y:2006:i:c:p:345-352
    DOI: 10.1016/j.physa.2005.11.047
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    References listed on IDEAS

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    1. Mantegna,Rosario N. & Stanley,H. Eugene, 2007. "Introduction to Econophysics," Cambridge Books, Cambridge University Press, number 9780521039871.
    2. M. G. Figueroa & M. C. Mariani & M. B. Ferraro, 2003. "The Effects of the Asian Crisis of 1997 on Emergent Markets Through a Critical Phenomena Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(06), pages 605-612.
    3. Ferraro, Marta & Furman, Nicolas & Liu, Yang & Mariani, Cristina & Rial, Diego, 2006. "Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 359(C), pages 576-588.
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    Citations

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    Cited by:

    1. Mariani, M.C. & Florescu, I. & Beccar Varela, M.P. & Ncheuguim, E., 2010. "Study of memory effects in international market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(8), pages 1653-1664.
    2. Mariani, M.C. & Florescu, I. & SenGupta, I. & Beccar Varela, M.P. & Bezdek, P. & Serpa, L., 2013. "Lévy models and scale invariance properties applied to Geophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 824-839.
    3. Maria Pia Beccar Varela & Francis Biney & Ionut Florescu, 2015. "Long correlations and fractional difference analysis applied to the study of memory effects in high-frequency (tick) data," Quantitative Finance, Taylor & Francis Journals, vol. 15(8), pages 1365-1374, August.
    4. Habtemicael, Semere & SenGupta, Indranil, 2014. "Ornstein–Uhlenbeck processes for geophysical data analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 399(C), pages 147-156.

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