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Long correlations and Normalized Truncated Levy Models applied to the study of Indian Market Indices in comparison with other emerging markets

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  • Mariani, M.C.
  • Libbin, J.D.
  • Kumar Mani, V.
  • Beccar Varela, M.P.
  • Erickson, C.A.
  • Valles-Rosales, D.J.

Abstract

This work is devoted to the study of long correlations and other statistical properties of the Indian Market Indices in comparison to other emerging market indices. We verified that the behavior of the return is compatible with a Normalized Truncated Levy Flight. We also detected long-range correlations in the absolute value of the return. Finally, we concluded that the statistical behavior of emerging markets is similar to the behavior of developed economies.

Suggested Citation

  • Mariani, M.C. & Libbin, J.D. & Kumar Mani, V. & Beccar Varela, M.P. & Erickson, C.A. & Valles-Rosales, D.J., 2008. "Long correlations and Normalized Truncated Levy Models applied to the study of Indian Market Indices in comparison with other emerging markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(5), pages 1273-1282.
    • Handle: RePEc:eee:phsmap:v:387:y:2008:i:5:p:1273-1282
    DOI: 10.1016/j.physa.2007.10.064
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    1. Mariani, M.C. & Florescu, I. & Beccar Varela, M.P. & Ncheuguim, E., 2009. "Long correlations and Levy models applied to the study of memory effects in high frequency (tick) data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1659-1664.
    2. 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.
    3. 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.

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