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Please use this identifier to cite or link to this item: http://repositorio.ufba.br/ri/handle/ri/5302

Title: Detecting switching points using asymmetric detrended fluctuation analysis
Other Titles: Physica A: Statistical Mechanics and its Applications
Authors: Castro, Miguel Angel Rivera
Miranda, José Garcia Vivas
Cajueiro, Daniel Oliveira
Andrade, Roberto Fernandes Silva
Keywords: Switching points;Asymmetric fluctuations;Local detrended analysis;Financial series
Issue Date: 2012
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.
Description: texto completo: acesso restrito. p.170–179
URI: http://www.repositorio.ufba.br/ri/handle/ri/5302
ISSN: 0378-4371
Appears in Collections:Artigos Publicados em Periódicos (EA)

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