Diffusion Entropy technique applied to the study of the market activity (Articolo in rivista)

Type
Label
  • Diffusion Entropy technique applied to the study of the market activity (Articolo in rivista) (literal)
Anno
  • 2005-01-01T00:00:00+01:00 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#doi
  • 10.1016/j.physa.2005.02.076 (literal)
Alternative label
  • Luigi Palatella (1); Josep Perelló (2); Miquel Montero (2); Jaume Masoliver (2) (2005)
    Diffusion Entropy technique applied to the study of the market activity
    in Physica. A (Print)
    (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#autori
  • Luigi Palatella (1); Josep Perelló (2); Miquel Montero (2); Jaume Masoliver (2) (literal)
Pagina inizio
  • 131 (literal)
Pagina fine
  • 137 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#altreInformazioni
  • Conference: 1st Bonzenfreies Colloquium on Market Dynamics and Quantitative Economics Location: Alessandria, ITALY Date: SEP 09-10, 2004 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#url
  • http://www.sciencedirect.com/science/article/pii/S0378437105002840 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroVolume
  • 355 (literal)
Rivista
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroFascicolo
  • 1 (literal)
Note
  • ISI Web of Science (WOS) (literal)
  • Scopu (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#affiliazioni
  • (1) Istituto dei Sistemi Complessi del CNR--Dipartimento di Fisica dell'Università di Roma \"La Sapienza\", P.le A. Moro 2, 00185 Roma, Italy (2) Departament de Física Fonamental, Universitat de Barcelona, Diagonal, 647, 08028-Barcelona, Spain (literal)
Titolo
  • Diffusion Entropy technique applied to the study of the market activity (literal)
Abstract
  • The present work briefly summarizes the results obtained in Palatella et al. Eur. Phys. J. B 38 (2004) 671 using the Diffusion Entropy technique and adds some new results regarding the Dow Jones Index time series. We show that time distances between peaks of volatility or activity are distributed following an asymptotic power-law which ultimately recovers an exponential behavior. We discuss these results in comparison with the TARCH model, the Ornstein-Uhlenbeck stochastic volatility model and a multi-agent model. We conclude that both ARCH and stochastic volatility models better describe the observed experimental evidences. © 2005 Elsevier B.V. All rights reserved. (literal)
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