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

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 t...

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Bibliographic Details
Published in:Physica A 2005-09, Vol.355 (2), p.461-474
Main Authors: Jaroszewicz, Sebastian, Mariani, M. Cristina, Ferraro, Marta
Format: Article
Language:English
Subjects:
Detrended fluctuation analysis
Econophysics
Latin-American indices
Levy flight
Stock market prices
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Summary: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.
ISSN:0378-4371
1873-2119
DOI:10.1016/j.physa.2005.04.003