IDEAS home Printed from
   My bibliography  Save this article

Fractionally integrated process for transition economics


  • Podobnik, Boris
  • Fu, Dongfeng
  • Jagric, Timotej
  • Grosse, Ivo
  • Eugene Stanley, H.


We analyze the European transition economics and show that many time series of major indices exhibit (i) power-law correlations in their values, (ii) power-law correlations in their magnitudes and (iii) an asymmetric probability distribution. Applying the phase randomization procedure to these time series, we show that magnitude correlations completely vanish. We propose a stochastic model that can generate time series with features (i), (ii) and (iii), and we show by means of numerical simulations that this model is capable of reproducing these three features found in the empirical data.

Suggested Citation

  • Podobnik, Boris & Fu, Dongfeng & Jagric, Timotej & Grosse, Ivo & Eugene Stanley, H., 2006. "Fractionally integrated process for transition economics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 362(2), pages 465-470.
  • Handle: RePEc:eee:phsmap:v:362:y:2006:i:2:p:465-470
    DOI: 10.1016/j.physa.2005.09.051

    Download full text from publisher

    File URL:
    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

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


    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:362:y:2006:i:2:p:465-470. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: .

    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.

    We have no references for this item. You can help adding them by using 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.