کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5499834 | 1533628 | 2017 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
فیزیک و نجوم
فیزیک آماری و غیرخطی
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چکیده انگلیسی
We detect the asymmetric multi-fractality in the U.S. stock indices based on the asymmetric multi-fractal detrended fluctuation analysis (A-MFDFA). Instead using the conventional return-based approach, we propose the index-based model of A-MFDFA where the trend based on the evolution of stock index rather than stock price return plays a role for evaluating the asymmetric scaling behaviors. The results show that the multi-fractal behaviors of the U.S. stock indices are asymmetric and the index-based model detects the asymmetric multi-fractality better than return-based model. We also discuss the source of multi-fractality and its asymmetry and observe that the multi-fractal asymmetry in the U.S. stock indices has a time-varying feature where the degree of multi-fractality and asymmetry increase during the financial crisis.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Chaos, Solitons & Fractals - Volume 97, April 2017, Pages 28-38
Journal: Chaos, Solitons & Fractals - Volume 97, April 2017, Pages 28-38
نویسندگان
Minhyuk Lee, Jae Wook Song, Ji Hwan Park, Woojin Chang,