TY - JOUR
T1 - Crossover from antipersistent to persistent behavior in time series possessing the generalyzed dynamic scaling law
AU - Balankin, Alexander S.
AU - Matamoros, Oswaldo Morales
AU - Ernesto, Gálvez M.
AU - Alfonso, Pérez A.
PY - 2004/3
Y1 - 2004/3
N2 - The time series of price volatility in crude oil was studied within a conceptual framework of kinetic roughening of growing interface. The persistent long-horozone voltalities were found to be satisfy the Family-Viscek dynamic scaling ansatz. It was find that the crossover from antipersistent to persistent behavior was accompanied by a change in the type of voltalities distribution. It was also observed that the transition from antipersistent to persistent accompanied by the change in the type of vlotaility distribution, which was light tailed for short horizons.
AB - The time series of price volatility in crude oil was studied within a conceptual framework of kinetic roughening of growing interface. The persistent long-horozone voltalities were found to be satisfy the Family-Viscek dynamic scaling ansatz. It was find that the crossover from antipersistent to persistent behavior was accompanied by a change in the type of voltalities distribution. It was also observed that the transition from antipersistent to persistent accompanied by the change in the type of vlotaility distribution, which was light tailed for short horizons.
UR - http://www.scopus.com/inward/record.url?scp=42749103398&partnerID=8YFLogxK
U2 - 10.1103/PhysRevE.69.036121
DO - 10.1103/PhysRevE.69.036121
M3 - Artículo
SN - 1063-651X
VL - 69
SP - 036121-1-036121-7
JO - Physical Review E - Statistical, Nonlinear, and Soft Matter Physics
JF - Physical Review E - Statistical, Nonlinear, and Soft Matter Physics
IS - 3 2
M1 - 036121
ER -