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

✍ Scribed by Marta Ferraro; Nicolas Furman; Yang Liu; Cristina Mariani; Diego Rial

• Publisher: Elsevier Science
• Year: 2006
• Tongue: English
• Weight: 200 KB
• Volume: 359
• Category: Article
• ISSN: 0378-4371
• DOI: 10.1016/j.physa.2005.04.034

✦ Synopsis

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 scales in different systems. Finally we develop a model that predicts the existence of intermittence and characteristic scales in the behavior of a financial index near a crash, and we apply the model to the analysis of several financial indices.