Portfolio analysis and optimization, together with the associated risk assessment and
management, require knowledge of the likely distributions of returns at different time scales …

We clarify the status of log-periodicity associated with speculative bubbles preceding
financial crashes. In particular, we address Feigenbaum's criticism (Feigenbaum JA 2001 …

In a series of papers based on analogies with statistical physics models, we have proposed
that most financial crashes are the climax of so-called log-periodic power law signatures …

Uno de los supuestos de los modelos de valoración de activos financieros es la presunción
de mercados bursátiles eficientes, en el presente trabajo se estudia la evolución de la …

We present a systematic algorithm which tests for the existence of collective self-
organization in the behavior of agents in social systems, with a concrete empirical …

Using frequency distributions of daily closing price time series of several financial market
indices, we investigate whether the bias away from an equiprobable sequence distribution …

El presente trabajo tiene como objetivo comprobar la eficiencia débil en los 5 principales
mercados bursátiles de Latinoamérica, usando 2 enfoques; primero se evalúa la …

We perform an extended analysis of the distribution of drawdowns in the two leading
exchange markets (US dollar against the Deutsmark and against the Yen), in the major …

Statistics of drawdowns (loss from the last local maximum to the next local minimum) plays
an important role in risk assessment of investment strategies. As they incorporate higher (> …

We apply two nonparametric methods to further test the hypothesis that log-periodicity
characterizes the detrended price trajectory of large financial indices prior to financial …