Estudo sobre a detecção de invariância de escala discreta em sistemas com criticalidade auto-organizada
Recent studies have shown evidence of log-periodic behavior in non-hierarchical systems. An interesting fact is the emergence of such properties on rupture and breakdown of complex materials and financial failures. These may be examples of systems with self-organized criticality (SOC). In this w...
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Formato: | Dissertação |
Idioma: | por |
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Universidade Federal do Rio Grande do Norte
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Endereço do item: | https://repositorio.ufrn.br/jspui/handle/123456789/19499 |
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Resumo: | Recent studies have shown evidence of log-periodic behavior in non-hierarchical systems.
An interesting fact is the emergence of such properties on rupture and breakdown
of complex materials and financial failures. These may be examples of systems with
self-organized criticality (SOC).
In this work we study the detection of discrete scale invariance or log-periodicity.
Theoretically showing the effectiveness of methods based on the Fourier Transform of the
log-periodicity detection not only with prior knowledge of the critical point before this
point as well. Specifically, we studied the Brazilian financial market with the objective
of detecting discrete scale invariance in Bovespa (Bolsa de Valores de S˜ao Paulo) index.
Some historical series were selected periods in 1999, 2001 and 2008. We report evidence
for the detection of possible log-periodicity before breakage, shown its applicability to the
study of systems with discrete scale invariance likely in the case of financial crashes, it
shows an additional evidence of the possibility of forecasting breakage |
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