A top-bottom price approach to understanding financial fluctuations

Physica A: Statistical Mechanics and its Applications

Volumn 391, Issue 4, 2012, Pages 1489-1496

  Rivera Castro, Miguel A ^a   Miranda, José G V ^a   Borges, Ernesto P ^a,c   Cajueiro, Daniel O ^b,c   Andrade, Roberto F S ^a,c  

^a FEDERAL UNIVERSITY OF BAHIA   (Brazil)

^b UNIVERSITY OF BRASILIA   (Brazil)

^c National Institute of Science and Technology for Complex Systems   (Brazil)

Author keywords

Return interval; Smoothing kernel; Switching point; Waiting time

Indexed keywords

FINANCIAL MARKETS;

DOW JONES INDUSTRIAL AVERAGES; GAUSSIAN KERNELS; MARKET STABILITY; POWER-LAW TAIL; RETURN INTERVAL; SMOOTHING KERNELS; SWITCHING POINTS; WAITING-TIME;

COSTS;

EID: 84655162119     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2011.11.022     Document Type: Article

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