M
Mario Garavaglia
Researcher at National University of La Plata
Publications - 107
Citations - 1318
Mario Garavaglia is an academic researcher from National University of La Plata. The author has contributed to research in topics: Fractional Brownian motion & Hurst exponent. The author has an hindex of 16, co-authored 107 publications receiving 1212 citations. Previous affiliations of Mario Garavaglia include National Scientific and Technical Research Council.
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A multifractal approach for stock market inefficiency
Luciano Zunino,Benjamin Miranda Tabak,Benjamin Miranda Tabak,Alejandra Figliola,Darío G. Pérez,Mario Garavaglia,Osvaldo A. Rosso,Osvaldo A. Rosso +7 more
TL;DR: In this article, the authors evaluated the multifractality degree in a collection of developed and emerging stock market indices and found that higher multifractal degree is associated with a less developed market.
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Multifractal structure in Latin-American market indices
Luciano Zunino,Alejandra Figliola,Benjamin Miranda Tabak,Benjamin Miranda Tabak,Darío G. Pérez,Mario Garavaglia,Osvaldo A. Rosso,Osvaldo A. Rosso +7 more
TL;DR: In this paper, the authors study the multifractal nature of daily price and volatility returns of Latin American stock markets employing the multifractal detrended fluctuation analysis.
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Permutation entropy of fractional Brownian motion and fractional Gaussian noise
Luciano Zunino,Darío G. Pérez,María Teresa Martín,Mario Garavaglia,Angelo Plastino,Osvaldo A. Rosso,Osvaldo A. Rosso +6 more
TL;DR: The entropy-gap in the transition between these processes, observed previously via numerical results, has been here theoretically validated and the behaviour of the permutation entropy of the fractional Gaussian noise for different time delays is analyzed.
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Fractional Brownian motion, fractional Gaussian noise, and Tsallis permutation entropy
Luciano Zunino,Darío G. Pérez,A.M. Kowalski,María Teresa Martín,María Teresa Martín,Mario Garavaglia,Angelo Plastino,Angelo Plastino,Osvaldo A. Rosso,Osvaldo A. Rosso +9 more
TL;DR: This work analyzes two important stochastic processes, the fractional Brownian motion and fractional Gaussian noise, within the framework of the Tsallis permutation entropy and finds the optimum value of this entropic index.
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Wavelet entropy of stochastic processes
TL;DR: It is found that the NTWS family performs better as a characterization method for these stochastic processes and is compared to the normalized total wavelet entropy (NTWS) family.