کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
977210 | 933178 | 2006 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Accounting for outliers and calendar effects in surrogate simulations of stock return sequences
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Accounting for outliers and calendar effects in surrogate simulations of stock return sequences Accounting for outliers and calendar effects in surrogate simulations of stock return sequences](/preview/png/977210.png)
چکیده انگلیسی
Surrogate data analysis (SDA) is a statistical hypothesis testing framework for the determination of weak chaos in time series dynamics. Existing SDA procedures do not account properly for the rich structures observed in stock return sequences, attributed to the presence of heteroscedasticity, seasonal effects and outliers. In this paper we suggest a modification of the SDA framework, based on the robust estimation of location and scale parameters of mean-stationary time series and a probabilistic framework which deals with outliers. A demonstration on the NASDAQ Composite index daily returns shows that the proposed approach produces surrogates that faithfully reproduce the structure of the original series while being manifestations of linear-random dynamics.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 368, Issue 2, 15 August 2006, Pages 522-530
Journal: Physica A: Statistical Mechanics and its Applications - Volume 368, Issue 2, 15 August 2006, Pages 522-530
نویسندگان
Alexandros Leontitsis, Constantinos E. Vorlow,