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

Analysis of intermittence, scale invaria

Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash

✍ Marta Ferraro; Nicolas Furman; Yang Liu; Cristina Mariani; Diego Rial 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 200 KB

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 scal