IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v355y2005i2p461-474.html
   My bibliography  Save this article

Long correlations and truncated Levy walks applied to the study Latin-American market indices

Author

Listed:
  • Jaroszewicz, Sebastian
  • Mariani, M. Cristina
  • Ferraro, Marta

Abstract

This work is devoted to the study of long correlations and other statistical properties of Latin-American market indices. We concluded that the behavior of the return is compatible with a slow convergence to a Gaussian distribution. We also detected long-range correlations in the absolute value of the return analyzing the effects of working with short data series. This fact has relevant consequences in the volatility dynamics.

Suggested Citation

  • Jaroszewicz, Sebastian & Mariani, M. Cristina & Ferraro, Marta, 2005. "Long correlations and truncated Levy walks applied to the study Latin-American market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(2), pages 461-474.
    • Handle: RePEc:eee:phsmap:v:355:y:2005:i:2:p:461-474
    DOI: 10.1016/j.physa.2005.04.003
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437105003055
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
    File URL: https://libkey.io/10.1016/j.physa.2005.04.003?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Mantegna,Rosario N. & Stanley,H. Eugene, 2007. "Introduction to Econophysics," Cambridge Books, Cambridge University Press, number 9780521039871.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kang, Sang Hoon & Yoon, Seong-Min, 2008. "Long memory features in the high frequency data of the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5189-5196.
    2. Tilfani, Oussama & Kristoufek, Ladislav & Ferreira, Paulo & El Boukfaoui, My Youssef, 2022. "Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 588(C).
    3. Ferreira, Paulo & Loures, Luís & Nunes, José Rato & Dionísio, Andreia, 2017. "The behaviour of share returns of football clubs: An econophysics approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 472(C), pages 136-144.
    4. 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.
    5. 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.
    6. Paulo Ferreira, 2012. "Testing serial dependence in the stock markets of the G7 countries, Portugal, Spain and Greece," CEFAGE-UE Working Papers 2012_24, University of Evora, CEFAGE-UE (Portugal).
    7. Mariani, M.C. & Liu, Y., 2007. "Normalized truncated Levy walks applied to the study of financial indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(2), pages 590-598.
    8. Ferreira, Paulo & Dionísio, Andreia & Correia, José, 2018. "Non-linear dependencies in African stock markets: Was subprime crisis an important factor?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 680-687.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Assaf Almog & Ferry Besamusca & Mel MacMahon & Diego Garlaschelli, 2015. "Mesoscopic Community Structure of Financial Markets Revealed by Price and Sign Fluctuations," PLOS ONE, Public Library of Science, vol. 10(7), pages 1-16, July.
    2. Muchnik, Lev & Bunde, Armin & Havlin, Shlomo, 2009. "Long term memory in extreme returns of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(19), pages 4145-4150.
    3. Lee, Jae Woo & Eun Lee, Kyoung & Arne Rikvold, Per, 2006. "Multifractal behavior of the Korean stock-market index KOSPI," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 364(C), pages 355-361.
    4. Paulo Ferreira & Éder J.A.L. Pereira & Hernane B.B. Pereira, 2020. "From Big Data to Econophysics and Its Use to Explain Complex Phenomena," JRFM, MDPI, vol. 13(7), pages 1-10, July.
    5. Liviu-Adrian Cotfas, 2012. "A quantum mechanical model for the rate of return," Papers 1211.1938, arXiv.org.
    6. David Vidal-Tomás & Simone Alfarano, 2020. "An agent-based early warning indicator for financial market instability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 49-87, January.
    7. Demidov, Denis & Frahm, Klaus M. & Shepelyansky, Dima L., 2020. "What is the central bank of Wikipedia?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 542(C).
    8. Choi, Jaehyung, 2012. "Spontaneous symmetry breaking of arbitrage," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(11), pages 3206-3218.
    9. Joachim Kaldasch, 2015. "Dynamic Model of the Price Dispersion of Homogeneous Goods," Papers 1509.01216, arXiv.org.
    10. Wang, Guochao & Zheng, Shenzhou & Wang, Jun, 2019. "Complex and composite entropy fluctuation behaviors of statistical physics interacting financial model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 97-113.
    11. Jung, Woo-Sung & Kwon, Okyu & Wang, Fengzhong & Kaizoji, Taisei & Moon, Hie-Tae & Stanley, H. Eugene, 2008. "Group dynamics of the Japanese market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 537-542.
    12. Arthur Matsuo Yamashita Rios de Sousa & Hideki Takayasu & Misako Takayasu, 2017. "Detection of statistical asymmetries in non-stationary sign time series: Analysis of foreign exchange data," PLOS ONE, Public Library of Science, vol. 12(5), pages 1-18, May.
    13. Jean-Philippe Bouchaud & Marc Mezard & Marc Potters, 2002. "Statistical properties of stock order books: empirical results and models," Science & Finance (CFM) working paper archive 0203511, Science & Finance, Capital Fund Management.
    14. Pištěk, Miroslav & Slanina, František, 2011. "Diversity of scales makes an advantage: The case of the Minority Game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(13), pages 2549-2561.
    15. Stosic, Darko & Stosic, Dusan & Ludermir, Teresa B. & Stosic, Tatijana, 2018. "Collective behavior of cryptocurrency price changes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 499-509.
    16. Marco Raberto & Silvano Cincotti & Sergio Focardi & Michele Marchesi, 2003. "Traders' Long-Run Wealth in an Artificial Financial Market," Computational Economics, Springer;Society for Computational Economics, vol. 22(2), pages 255-272, October.
    17. Gautier Marti & Frank Nielsen & Philippe Donnat & S'ebastien Andler, 2016. "On clustering financial time series: a need for distances between dependent random variables," Papers 1603.07822, arXiv.org.
    18. Tetsuya Takaishi, 2005. "Simulations Of Financial Markets In A Potts-Like Model," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 16(08), pages 1311-1317.
    19. J. Doyne Farmer & Laszlo Gillemot & Fabrizio Lillo & Szabolcs Mike & Anindya Sen, 2004. "What really causes large price changes?," Quantitative Finance, Taylor & Francis Journals, vol. 4(4), pages 383-397.
    20. Andrzej Buda, 2011. "Hierarchical structure in phonographic market," Papers 1105.6265, arXiv.org.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:355:y:2005:i:2:p:461-474. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.