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

Volumn 387, Issue 5-6, 2008, Pages 1273-1282

  Mariani, M C ^a   Libbin, J D ^a   Kumar Mani, V ^a   Beccar Varela, M P ^a   Erickson, C A ^a   Valles Rosales, D J ^a  

^a NEW MEXICO STATE UNIVERSITY   (United States)

Author keywords

Detrended Fluctuation Analysis; Econophysics; Emerging Market Indices; Indian Stock Indices; Levy flight

Indexed keywords

MARKETING; STATISTICAL METHODS;

DETRENDED FLUCTUATION ANALYSIS; INDIAN MARKET INDICES; INDIAN STOCK INDICES; NORMALIZED TRUNCATED LEVY FLIGHTS;

ECONOMIC ANALYSIS;

EID: 36749099128     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2007.10.064     Document Type: Article

References (31)

1. Mantegna R.N., and Stanley H.E. An Introduction to Econophysics: Correlations and Complexity in Finance (1999), Cambridge University Press, Cambridge
2. Stanley H.E., Amaral L.A.N., Canning D., Gopikrishnan P., Lee Y., and Liu Y. Econophysics: Can physicists contribute to the science of economics?. Proc. 1998 Econophysics Workshop. Physica A 269 (1999) 156-169
3. Ausloos M., Vandewalle N., Boveroux Ph., Minguet A., and Ivanova K. Applications of statistical physics to economic and financial topics. Physica A 274 (1999) 229-240
4. J.-Ph. Bouchaud, M. Potters, Théorie des riques financiers, Alea-Saclay/Eyrolles, Paris, 1997
5. Mantegna R.N., and Stanley H.E. Scaling behaviour in the dynamics of an economic index. Nature 376 (1995) 46-49
6. Willmott P., Dewynne J.N., and Howison S.D. Option Pricing: Mathematical Models and Computation (1993), Oxford Financial Press, Oxford
7. Mandelbrot B.B. The variation of certain speculative prices. J. Business 36 (1963) 394
8. Levy P. Théorie de l'Addition des Variables Aléatoires (1937), Gauthier-Villars, Paris
9. Mantegna R.N., and Stanley H.E. Stochastic process with ultra-slow convergence to a Gaussian: The truncated levy flight. Phys. Rev. Lett. 73 (1994) 2946-2949
10. Mariani M.C., and Liu Y. Normalized Truncated Levy walks applied to the study of Financial Indices. Physica A 377 (2007) 590-598
11. Peng C.K., Buldyrev S.V., Havlin S., Simons M., Stanley H.E., and Goldberger A.L. Mosaic organization of DNA nucleotides. Phys. Rev. E 49 (1994) 1685-1689
12. Levy P. Calcul des probabilités (1925), Gauthier-Villars, Paris
13. Khintchine A.Ya., and Levy P. Sur les lois stables. C. R. Acad. Sci., Paris 202 (1936) 374
14. Koponen I. Analytic approach to the problem of convergence of truncated Levy flights towards the Gaussian stochastic process. Phys. Rev. E 52 (1995) 1197-1199
15. R. Weron, Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime, Int. J. Modern Phys. C 12 (2) 209-223
16. Amaral L.A.N., Cizeau P., Gopikrishnan P., Liu Y., Meyer M., Peng C.K., and Stanley H.E. Econophysics: can statistical physics contribute to the science of economics?. Proc. Intl Conf on Computational Physics, CCP1998. Comput. Phys. Commun. 121-122 (1999) 145-152
17. Ivanova K., and Ausloos M. Application of the Detrended Fluctuation Analysis (DFA) method for describing cloud breaking. Physica A 274 (1999) 349-354
18. Jaroszewicz S., Mariani M.C., and Ferraro M. Long correlations and truncated Levy walks applied to the study of Latin-American market indices. Physica A 355 (2005) 461-474
19. Buldyrev S.V., Goldberger A.L., Havlin S., Mantegna R.N., Matsa M.E., Peng C.K., Simons M., and Stanley H.E. Long-range correlation properties of coding and noncoding DNA sequences: GenBank analysis. Phys. Rev. E 51 (1995) 5084-5091
20. Peng C.K., Buldyrev S.V., Goldberger A.L., Mantegna R.N., Simons M., and Stanley H.E. Statistical properties of DNA sequences. Proc. Int'l IUPAP Conf. on Statistical Physics, Taipei. Physica A 221 (1995) 180-192
21. Peng C.K., Mietus J., Hausdorff J.M., Havlin S., Stanley H.E., and Goldberger A.L. Long-range anticorrelations and non-Gaussian behavior of the heartbeat. Phys. Rev. Lett 70 (1993) 1343-1346
22. Peng C.K., Havlin S., Stanley H.E., and Goldberger A.L. Quantification of scaling exponents and crossover phenomena in nonstationary heartbeat time series. In: Glass L. (Ed). Proc. NATO Dynamical Disease Conference. Chaos 5 (1995) 82-87
23. Koscienly-Bunde E., Roman H.E., Bunde A., Havlin S., and Schellnhuber H.J. Long-range power-law correlations in local daily temperature fluctuations. Phil. Mag. B 77 (1998) 1331
24. Koscienly-Bunde E., Bunde A., Havlin S., Roman H.E., Goldreich Y., and Schellnhuber H.J. Indication of universal persistence law governing atmospheric variability. Phys. Rev. Lett 81 (1998) 729
25. Kantelhardt J.W., Berkovits R., Havlin S., and Bunde A. Are the phases in the Anderson model long-range correlated?. Physica A 266 (1999) 461-464
26. Vandewalle N., Ausloos M., Houssa M., Mertens P.W., and Heyns M.M. Non-Gaussian behavior and anticorrelations in ultrathin gate oxides after soft breakdown. Appl. Phys. Lett. 74 (1999) 1579-1581
27. Liu Y.H., Cizeau P., Meyer M., Peng C.K., and Stanley H.E. Quantification of correlations in economic time series. Physica A 245 (1997) 437-440
28. Cizeau P., Liu Y.H., Meyer M., Peng C.K., and Stanley H.E. Volatility Distribution in the S&P500 Stock Index. Physica A 245 (1997) 441-445
29. Ausloos M., Vandewalle N., Boveroux P., Minguet A., and Ivanova K. Applications of statistical physics to economic and financial topics. Physica A 274 (1999) 229-240
30. Ausloos M., and Ivanova K. Introducing false EUR and false EUR exchange rates. Physica A 286 (2000) 353-366
31. Matia K., Pal M., Salunkay H., and Stanley H.E. Scale-dependent price fluctuations for the Indian stock market. Europhys. Lett. 66 6 (2004) 909-914