https://repositorio.ufba.br/handle/ri/5302
Tipo: | Artigo de Periódico |
Título: | Detecting switching points using asymmetric detrended fluctuation analysis |
Título(s) alternativo(s): | Physica A: Statistical Mechanics and its Applications |
Autor(es): | Castro, Miguel Angel Rivera Miranda, José Garcia Vivas Cajueiro, Daniel Oliveira Andrade, Roberto Fernandes Silva |
Autor(es): | Castro, Miguel Angel Rivera Miranda, José Garcia Vivas Cajueiro, Daniel Oliveira Andrade, Roberto Fernandes Silva |
Abstract: | This work uses the concept of Asymmetric Detrended Fluctuation Analysis (A-DFA) to investigate and characterize the occurrence of trend switching in financial series. A-DFA introduces two new roughness exponents, H+ and H−, which differ from the usual one H by separately taking into account contributions to the fluctuations according to whether the local trend is, respectively, upward or downward. The developed methodology requires the evaluation of local values of H(t), H+(t), and H−(t), by restricting the size of the largest window around the value t. We show that H+(t) and H−(t) behave differently in the neighborhoods of switching points (SPs) where trends change sign. Properly taken differences between shifted local values of H(t), H+(t), and H−(t) allow to identify and characterize SP’s. Tests with Weiertrasse functions, isolated peaks, and actual financial series are presented, supporting the validity of the proposed method. |
Palavras-chave: | Switching points Asymmetric fluctuations Local detrended analysis Financial series |
URI: | http://www.repositorio.ufba.br/ri/handle/ri/5302 |
Data do documento: | 2012 |
Aparece nas coleções: | Artigo Publicado em Periódico (EA) |
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Detecting switching points using asymmetric detrended fluctuation.pdf Restricted Access | 513,39 kB | Adobe PDF | Visualizar/Abrir Solicitar uma cópia |
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