Different fractal properties of positive and negative returns

Details Different fractal properties of positive and negative returns Different fractal properties of positive and negative returns

2008-03-10

arxiv.org/abs/0803.1374v1

Acta Physica Polonica A Vol. 114 No 3. page 547 (2008)

Economy

Quantitative Finance

Statistical Finance

presented at FENS2007 conference, 8 pages, 4 Figs

Scientific paper

We perform an analysis of fractal properties of the positive and the negative changes of the German DAX30 index separately using Multifractal Detrended Fluctuation Analysis (MFDFA). By calculating the singularity spectra $f(\alpha)$ we show that returns of both signs reveal multiscaling. Curiously, these spectra display a significant difference in the scaling properties of returns with opposite sign. The negative price changes are ruled by stronger temporal correlations than the positive ones, what is manifested by larger values of the corresponding H\"{o}lder exponents. As regards the properties of dominant trends, a bear market is more persistent than the bull market irrespective of the sign of fluctuations.

Affiliated with

Also associated with

No associations

Rating

Different fractal properties of positive and negative returns does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Different fractal properties of positive and negative returns, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Different fractal properties of positive and negative returns will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-378847