https://repositorio.ufba.br/handle/ri/5302
Campo DC | Valor | Idioma |
---|---|---|
dc.contributor.author | Castro, Miguel Angel Rivera | - |
dc.contributor.author | Miranda, José Garcia Vivas | - |
dc.contributor.author | Cajueiro, Daniel Oliveira | - |
dc.contributor.author | Andrade, Roberto Fernandes Silva | - |
dc.creator | Castro, Miguel Angel Rivera | - |
dc.creator | Miranda, José Garcia Vivas | - |
dc.creator | Cajueiro, Daniel Oliveira | - |
dc.creator | Andrade, Roberto Fernandes Silva | - |
dc.date.accessioned | 2012-02-03T23:02:17Z | - |
dc.date.issued | 2012 | - |
dc.identifier.issn | 0378-4371 | - |
dc.identifier.uri | http://www.repositorio.ufba.br/ri/handle/ri/5302 | - |
dc.description | texto completo: acesso restrito. p.170–179 | pt_BR |
dc.description.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. | pt_BR |
dc.language.iso | en | pt_BR |
dc.subject | Switching points | pt_BR |
dc.subject | Asymmetric fluctuations | pt_BR |
dc.subject | Local detrended analysis | pt_BR |
dc.subject | Financial series | pt_BR |
dc.title | Detecting switching points using asymmetric detrended fluctuation analysis | pt_BR |
dc.title.alternative | Physica A: Statistical Mechanics and its Applications | pt_BR |
dc.type | Artigo de Periódico | pt_BR |
dc.identifier.number | v. 391. | pt_BR |
dc.embargo.liftdate | 10000-01-01 | - |
Aparece nas coleções: | Artigo Publicado em Periódico (EA) |
Arquivo | Descrição | Tamanho | Formato | |
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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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