Long correlations and Normalized Truncated Levy Models applied to the study of Indian Market Indices in comparison with other emerging markets

Mariani, Maria C.; Libbin, James D.; Mani, Vidya; Varela, M. P. Beccar; Erickson, Christopher A.; Valles-Rosales, Delia J.

doi:10.1016/j.physa.2007.10.064

Cited by 8 publications

(9 citation statements)

References 24 publications

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“…Usually, the distribution is Gaussian or a truncated Levy flight (to express the leptokurtic nature of the empirical data) or other similar distributions. 2,[10][11][12][13][14][15][16][17][18] According to these models, the price is the result of a random walk, where the increments are randomly chosen.…”

Section: Introductionmentioning

confidence: 99%

Hidden temporal order unveiled in stock market volatility variance

et al. 2011

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When analyzed by standard statistical methods, the time series of the daily return of financial indices appear to behave as Markov random series with no apparent temporal order or memory. This empirical result seems to be counter intuitive since investor are influenced by both short and long term past market behaviors. Consequently much effort has been devoted to unveil hidden temporal order in the market dynamics. Here we show that temporal order is hidden in the series of the variance of the stocks volatility. First we show that the correlation between the variances of the daily returns and means of segments of these time series is very large and thus cannot be the output of random series, unless it has some temporal order in it. Next we show that while the temporal order does not show in the series of the daily return, rather in the variation of the corresponding volatility series. More specifically, we found that the behavior of the shuffled time series is equivalent to that of a random time series, while that of the original time series have large deviations from the expected random behavior, which is the result of temporal structure. We found the same generic behavior in 10 different stock markets from 7 different countries. We also present analysis of specially constructed sequences in order to better understand the origin of the observed temporal order in the market sequences. Each sequence was constructed from segments with equal number of elements taken from algebraic distributions of three different slopes.

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Section: Introductionmentioning

confidence: 99%

Hidden temporal order unveiled in stock market volatility variance

et al. 2011

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“…Studies that focus on particular country indices [17][18][19] generally show that a long term memory effect exists.…”

Section: Introductionmentioning

confidence: 99%

“…Previous literature has concluded that the time series of financial indices are explained by the TLF model [15,18,19]. The Rescaled Range Analysis (R/S) and Detrended Fluctuation Analysis (DFA) methods are used to investigate long-range correlations.…”

Section: Introductionmentioning

confidence: 99%

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Study of memory effects in international market indices

Mariani

Florescu

Varela

et al. 2010

Physica A: Statistical Mechanics and its Applications

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“…Studies focusing on particular country indices [11,29,36] generally show that a long term memory effect exists.…”

Section: Introductionmentioning

confidence: 99%

Levy models and long correlations applied to the study of exchange traded funds

Mariani

Libbin

Martin

et al. 2009

International Journal of Computer Mathematics

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This work is devoted to the study of statistical properties of Exchange Traded Funds (ETF). Some of the leading ETF in the market are analysed by using the Hurst and DFA methods to detect long range correlations, and the Levy models to describe the return distributions. It is concluded that the statistical behaviour of the ETF is very similar to the behaviour of the corresponding financial indices that they mimic.

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Long correlations and Normalized Truncated Levy Models applied to the study of Indian Market Indices in comparison with other emerging markets

Cited by 8 publications

References 24 publications

Hidden temporal order unveiled in stock market volatility variance

Hidden temporal order unveiled in stock market volatility variance

Study of memory effects in international market indices

Levy models and long correlations applied to the study of exchange traded funds

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