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

M. FERRARO, N. FURMAN, Y. LIU, M. C. MARIANI, D. RIAL

PHYSICA A - STATISTICAL AND THEORETICAL PHYSICS

Año: 2006 vol. 359 p. 576 - 588

0378-4371

This work is devoted to the sutdy 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 presetn an efficient method that detects characteristic scales in different systems. Finally we develop a model that predicts the existence or intermittence and characteristics scales in the behavior of a financial index near a crash, and we apply the model to the analysis of several financial indices