The classical Ising model was used to re-create the ferromagnetic phenomenon in statistical mechanics. The model describes the behavior of atoms in a lattice. Each atom may interact only with its neighbors, and has two states called spins. When the atoms polarize their spins, the resulting...

Long term memory effects in stock market indices that represent internationally diversified stocks are analyzed in this paper and the results are compared with the S&P 500 index. The Hurst exponent and the Detrended fluctuation analysis (DFA) technique are the tools used for this analysis. The...

This work is devoted to the study of long correlations, memory effects and other statistical properties of high frequency (tick) data. We use a sample of 25 stocks for this purpose.

It is well known that returns for financial data sampled with high frequency exhibit memory effects, in contrast to the behavior of the much celebrated log-normal model. Herein, we analyse minute data for several stocks over a seven-day period which we know is relevant for market crash behavior...

This work is devoted to the study of long correlations and other statistical properties of the Indian Market Indices in comparison to other emerging market indices. We verified that the behavior of the return is compatible with a Normalized Truncated Levy Flight. We also detected long-range...

This work is devoted to the study of the Asian crisis of 1997, and its consequences on emerging markets. We have done so by means of a phase transition model. We have analyzed the crashes on leading indices of Hong Kong (HSI), Turkey (XU100), Mexico (MMX), Brazil (BOVESPA) and Argentina...

This work is devoted to the study of the statistical properties of financial indices from developed and emergent markets.