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21por Olivares-Sánchez, Héctor Raúl, Rodríguez-Martínez, Carlos Manuel, Coronel-Brizio, Héctor Francisco, Scalas, Enrico, Seligman, Thomas Henry, Hernández-Montoya, Alejandro Raúl“…In this paper we study the distribution of the duration of uninterrupted trends for the daily indices DJIA, NASDAQ, IPC and Nikkei 225 during the period of time from 10/30/1978 to 08/07/2020 and we compare the simple geometric statistical model with [Image: see text] consistent with the EMH to the empirical data. …”
Publicado 2022
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22“…Specifically, we computed the Lempel–Ziv complexity (LZ) and the permutation entropy (PE) from two composite stock indices, the Shanghai stock exchange composite index (SSE) and the Dow Jones industrial average (DJIA), for both low-frequency (daily) and high-frequency (minute-to-minute)stock index data. …”
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23“…The results highlight a single break in return predictability and price volatility of both S&P 500 and DJIA. The timing of the break is consistent with the COVID-19 outbreak, or more specifically the stock selling-offs by the U.S. senate committee members before COVID-19 crashed the market. …”
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24“…In this article we propose, and use for the daily values of five indexes (CAC40, DAX30, DJIA, FTSE250 and WIG20) over the time period 2006–2017, a new, simple and computationally inexpensive methodology to automatically extend contagion evaluation from the evolution of the correlation matrix to the evolution of multiple higher mixed moments as well. …”
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25“…In this paper, we have quantitatively investigated the time-frequency co-movement impact of COVID-19 on U.S. and China stock market since early 2020 in terms of daily observation from National Association of Securities Dealers Automated Quotations Index (NDX), Dow Jones Industrial Average (DJIA), Standard & Poor's 500 Index (SPX), Shanghai Securities Composite Index (SSEC), Shenzhen Securities Component Index (SZI), in favor of spatiotemporal interactions over investor sentiment index, and propose to explore the divisibility and the predictability to the volatility of stock market during the development of COVID-19. …”
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26“…The proposed trend predictor model is empirically evaluated over historical data of three stock indices such as BSE SENSEX, S&P 500 and DJIA collected during pre-COVID and COVID time frame. …”
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27por Antunes-Nobrega, R, França-Barbosa, A, Bediaga, I, Cernicchiaro, G, Correade-Oliveira, E, Magnin, J, Manhaes de Andrade-Filho, L, Marques de Miranda, J, Pessoa Lima Junior, H, Reis, A, Akiba, K, Amato, S, Da Silva, T, De Mello-Neto, J R T, De Paula, B, De Paula, L, Gandelman, M, Lopes, J H, Maréchal, B, Marinho, F, Massafferri, A, Polycarpo, E, Boget, D, Bret, A, Delebecque, P, De Bonis, I, Décamp, D, Drancourt, C, Dumont-Dayot, N, Girard, C, Lieunard, B, Minard, M N, Moreau, S, Pietrzyk, B, Rambure, T, Terrier, H, Ajaltouni, Ziad J, Böhner, G, Borras, D, Cârloganu, C, Conte, E, Cornat, R, Delage, E, Deschamps, O, Henrard, P, Lecoq, J, Magne, M, Monteil, S, Perret, P, Reinmuth, G, Rimbault, C, Robert, A, Aslanides, E, Babel, J, Benchouk, C, Cachemiche, J P, Cogan, J, Dinkespiler, B, Duval, P Y, Le Gac, R, Lunesu, D, Garonne, V, Leroy, O, Liotard, P L, Marin, F, Tsaregorodtsev, A Yu, Barrand, G, Beigbeder-Beau, C, Beneyton, R, Breton, D, Callot, O, Charlet, D, D'Almagne, B, Delcourt, B, Duarte, O, Fulda-Quenzer, F, Jean-Marie, B, Lefrançois, J, Machefert, F, Robbe, P, Schune, M H, Tocut, V, Videau, I, Benayoun, M, Del Buono, L, David, P, Gilles, G, Nedos, M, Spaan, B, Agari, M, Bauer, C, Blouw, J, Fuchs, H P, Hofmann, W, Knöpfle, K T, Löchner, S, Müller, A S, Schmelling, M, Schwingenheuer, B, Smale, N J, Bachmann, S, Eisele, F, Haas, T, Henneberger, S, Igo-Kemenes, P, Kisel, I, Lindenstruth, V, Stange, U, Trunk, U, Wiedner, D, Uwer, U, Alfonsi, M, Bencivenni, G, Bloise, C, Bossi, F, Campana, P, Capon, G, Ciambrone, P, De Simone, P, Felici, G, Forti, C, Lanfranchi, G, Murtas, F, Patera, V, Poli-Lener, M, Saputi, A, Sarti, A, Sciubba, A, Avoni, G, Balbi, G, Bargiotti, M, Bertin, A, Bortolotti, D, Bruschi, M, Carbone, A, De Castro, S, Faccioli, P, Fabbri, L, Galli, D, Giacobbe, B, Gregori, D, Grimaldi, F, Lax, I, Marconi, U, Massa, I, Peco, G, Piccinini, M, Semprini-Cesari, N, Spighi, R, Vagnoni, V, Vecchi, S, Villa, M, Vitale, A, Zoccoli, A, Bonivento, W, Cadeddu, S, Cardini, A, De Leo, V, Deplano, C, Lai, A, Raspino, D, Saitta, B, Baldini, W, Carassiti, V, Cotta-Ramusino, A, Dalpiaz, P, Germani, S, Gianoli, A, Martini, M, Petrucci, F, Savrié, M, Bizzeti, A, Graciani, G, Lenti, M, Lenzi, M, Passaleva, G, Pelfer, P G, Veltri, M, Cuneo, S, Fontanelli, F, Gracco, V, Mini, G, Musico, P, Petrolini, A, Sannino, M, Alemi, M, Arnaboldi, C, Bellunato, T F, Calvi, M, Garibaldi, F, Matteuzzi, C, Musy, M, Negri, P, Panzeri, E, Perego, D L, Pessina, G, Pukhaeva, N, Trentadue, L G, Auriemma, G, Bocci, V, Bosio, C, Dane, E, Fidanza, D, Frenkel, A, Iacoangeli, F, Martellotti, G, Penso, G, Petrarca, S, Pinci, D, Rinaldi, W, Santacesaria, R, Satriano, C, Satta, A, Carboni, G, De Capua, S, Messi, R, Santovetti, E, van Apeldoorn, G, Arink, R, Van Bakel, N, Bauer, T S, Van Beuzekom, M G, Van den Brand, J F J, Bos, E, Bulten, H J, Doets, M, Groenstege, H, Gromov, V, Hierck, R, Hommels, L, Jans, E, Ketel, T, Klous, S, Kraan, M J, Merk, M, Mul, F, Nardulli, J, Pellegrino, A, Raven, G, Rodrigues-Figueiredo, E M, Schuijlenburg, H, Sluijk, T, Tuning, N, Vankov, P, Verlaat, B, Van Tilburg, J, De Vries, H, Wiggers, L, Ybeles-Smit, G V, Zupan, M, Bisset, M, Cheng, J P, Cui, Y G, Dai, Y, Gao, Y, He, H J, Huang, C, Jiang, C, Kuang, Y P, Li, Q, Li, Y J, Liao, Y, Ni, J P, Shao Bei Bei, Su, J J, Tian, Y R, Wang, Q, Yan, Q S, Ciba, K, Hajduk, L, Kowal, A, Kucharczyk, M, Michalowski, J, Muryn, B, Oblakowska-Mucha, A, Polok, G, Witek, M, Adamus, M, Chlopik, A, Guzik, Z, Nawrot, A, Syryczynski, K, Szczekowski, M, Coca, C, Orlandea, M, Nicorescu, C, Stoica, S, Tarta, P D, Filippov, S, Gavrilov, J, Guschin, E, Kloubov, V, Kravchuk, L, Kutuzov, V, Laptev, S, Laptev, V, Marin, V, Rybkine, G, Sadovskii, A, Semeniouk, I N, Strigin, V, Alekseev, I, Arefev, A, Barsuk, S, Belyaev, I, Bobchenko, B M, Charkov, G, Dolgoshein, V, Golutvin, A, Gouchtchine, O, Kiritchenko, V, Kochetkov, V, Korolko, I, Kvaratskheliia, T, Machikhiliyan, I, Malyshev, S, Martemyanov, M, Mayatskaya, E, Melnikov, E A, Morozov, A, Pakhlov, P, Pakhlova, G, Petriaev, A, Pozolov, P, Prokudin, M, Roussinov, D, Rusinov, V, Semenov, S, Shuvalov, S, Soldatov, A, Svirida, D, Tarkovski, E, Voronchev, K, Zaitsev, V, Zhiryakova, O, Barnyakov, M, Beloborodov, K I, Berdiouguine, A, Bondar, A, Bozhenok, A, Buzulutskov, A F, Eidelman, S, Golubev, V, Krokovnyi, P P, Kuzmin, A, Oreshkin, S B, Poluektov, A, Serednyakov, S I, Shekhtman, L I, Shwartz, B, Silagadze, Z K, Vasilev, A, Ajnenko, I V, Belous, K S, Dzhelyadin, R I, Guz, Yu P, Kachnov, K, Katchaev, I, Khmelnikov, V A, Kisselev, V S, Kobelev, A, Konoplyannikov, A K, Likhoded, A K, Martchikine, N, Matveev, V D, Novikov, V, Obraztsov, V F, Ostankov, A P, Polyakov, V, Romanovski, V, Rykalin, V I, Shapkin, M M, Sokolov, A, Soldatov, M M, Talanov, V V, Yushchenko, O P, Alkhazov, G, Andreev, V, Botchine, B, Ganja, V, Goloubev, V, Guetz, S, Kashchuk, A, Lazarev, V, Maev, E, Maev, O, Petrov, G, Saguidova, N, Sementchouk, G, Smirnov, I, Souvorov, V, Spiridenkov, E, Vorobyov, A, Vorobyov, A A, Voropaev, N, Aguiló, E, Ballabriga-Sune, Rafael, Calvo, M, Comerma-Montells, A, Ferragut, S, Garrido, L, Gascón, D, Gonzales-Bano, C, Graciani-Díaz, R, Graugès-Pous, E, Luengo, S, Peralta, D, Roselló, M, Vilasís, X, Xirgu Aleixandre, J, Adeva, B, Esperante-Pereira, D, Lois-Gómez, C, Pazos, A, Pló, M, Saborido, J J, Sánchez-García, M, Vázquez-Regueiro, P, Bay, A, Borel, J, Carron, B, Fauland, P, Fernández, L, Frei, R, Haefeli, G, Hertig, J P, Van Hunen, J J, Jacoby, C, Jalocha, P, Jiménez-Otero, S, Legger, F, Locatelli, L, Perrin, A, Schietinger, T, Schneider, O, Tran, M T, Vervink, K, Villa, S, Voss, H, Zwahlen, N, Bernet, R, Bernhard, R P, Gassner, J, Köstner, S, Lehner, F, Needham, M, Steinkamp, O, Straumann, U, Vollhardt, A, Volyanskyy, D, Wenger, A, Ziegler, M, Dovbnya, A, Ranyuk, Y, Shapoval, I, Aushev, V, Filipchenko, Y, Kiva, V, Pavlenko, Yu, Pugatch, V, Volyanskyy, D, Brook, N H, Head, R D, Jia, Q, Metlica, F, Muir, A, Phillips, A, Szczypka, P, Wilson, F F, Buckley, A, Dickens, J, George, K, Gibson, V, Harrison, K, Jones, C R, Katvars, S G, Lazzeroni, C, Storey, J, Ward, C P, Wotton, S A, Densham, C J, Easo, S, Franek, B, Halsall, R N J, Kuznetsov, G, Loveridge, P W, Morrow, D, Morris, J V, Papanestis, A, Patrick, G N, Woodward, M L, Zhang, Z, Chamonal, R, Clark, P J, Earl, A, Eisenhardt, S, Gilarsi, N, Lawrence, J, McCarron, J, Muheim, F, Playfer, S, Smith, A, Thorn, S, Walker, A, Xie, Y, Flavell, A J, Bates, R, MacGregor, A, O'Shea, V, Parkes, C, Paterson, S, Petrie, D, Pickford, A, Saavedra, A, Soler, F J P, Szumlak, T, Viret, S, Biagi, S, Bowcock, T, Casse, G, Gamet, R, George, M, Hutchcroft, D E, Patel, G, Shears, T G, Stavitski, I, Tobin, M, Washbrook, A J, Allebone, L, Barber, G J, Blake, T, Cameron, W, Clark, D, Dornan, Peter John, Egede, U, Hallam, R, Howard, A, Jolly, S, Plackett, R, Price, D R, Savidge, T, Vidal-Sitjes, G, Websdale, D M, Adinolfi, M, Bibby, J H, Cioffi, C, Gligorov, V, Harnew, N, Harris, F, McArthur, I A, Muresan, R, Newby, C, Powell, A, Rademacker, J, Senanayake, R, Somerville, L P, Soroko, A, Stokes-Rees, I, Sullivan, P, Topp-Jørgensen, S, Wilkinson, G, Abadie, L, Aglieri-Rinella, G, Anelli, G, Bal, F, Barczyk, A, Batista-Lopes, J C, Bird, I, Bobillier, V, Braem, André, Brarda, L, Buytaert, J, Camilleri, L L, Campbell, M, Cattaneo, M, Charpentier, P, Christiansen, J, Clemencic, M, Closier, J, Collins, P, Corti, G, D'Ambrosio, C, Degaudenzi, H M, Dijkstra, H, Domenech-Saavedra, M, Dufey, J P, Eckstein, D, Eklund, L, Ferro-Luzzi, M, Flegel, W, Formenti, F, Forty, R W, Frank, M, Frei, C, Gaidioz, B, Gaspar, C, Gavillet, P, Gouldwell-Bates, A, Graulich, J S, Guirao-Elias, A, Gys, Thierry, Harvey, J, Hernando-Morata, J A, Van Herwijnen, Eric, Hilke, H J, Jacobsson, R, Joram, C, Jost, B, Kanaya, N, Koppenburg, P, Lacarrère, D, Lammana, M, Lastoviicka, T, Lindner, R, Losasso, M, Van Lysebetten, A, Maier, A, Mato-Vila, P, Moritz, M, Moscicki, J, Mücke, M, Nakada, T, Neufeld, N, Nogueira-Fernandes, R, Palacios, J, Patel, M, Pivk, M, Pokorski, Witold, Ponce, S, Ranjard, F, Roiser, S, Ruf, T, Ruffinoni, D, Ruiz-Pérez, H, Schmidt, B, Schneider, T, Schopper, A, Teubert, F, Ullaland, O, Vannerem, P, Witzeling, W, Wyllie, KEnlace del recurso
Publicado 2005