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Long-term correlations and cross-correlations in IBovespa and constituent companies

  • Published:2018-02 Issue: Volume:492 Page:1431-1438
  • ISSN:0378-4371
  • Container-title:Physica A: Statistical Mechanics and its Applications
  • language:en
  • Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

de Lima Neílson F.,Fernandes Leonardo H.S.,Jale Jader S.,de Mattos Neto Paulo S.G.,Stošić Tatijana,Stošić Borko,Ferreira Tiago A.E.

Funder

Conselho Nacional de Desenvolvimento Científico e Tecnológico

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference41 articles.

1. IBovespa, http://www.bmfbovespa.com.br/pt_br/produtos/indices/indices-amplos/indice-bovespa-ibovespa.htm.

2. Econophysics: can statistical physics contribute to the science of economics?;Amaral;Comput. Phys. Comm.,1999

3. Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development;Di Matteo;J. Bank. Finance,2005

4. Statistical properties of the volatility of price fluctuations;Liu;Phys. Rev. E,1999

5. Cross-correlations between volume change and price change;Podobnik;Proc. Natl. Acad. Sci.,2009
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