PL EN


Preferences help
enabled [disable] Abstract
Number of results
2008 | 114 | 3 | 547-553
Article title

Different Fractal Properties of Positive and Negative Returns

Content
Title variants
Languages of publication
EN
Abstracts
EN
We perform an analysis of fractal properties of the positive and the negative changes of the German DAX30 index separately using multifractal detrended fluctuation analysis. By calculating the singularity spectra f(α) we show that returns of both signs reveal multiscaling. Curiously, these spectra display a significant difference in the scaling properties of returns with opposite sign. The negative price changes are ruled by stronger temporal correlations than the positive ones, which is manifested by larger values of the corresponding Hölder exponents. As regards the properties of dominant trends, a bear market is more persistent than the bull market irrespective of the sign of fluctuations.
Keywords
EN
Contributors
  • Institute of Nuclear Physics, Polish Academy of Sciences, Radzikowskiego 152, PL-31-342 Kraków, Poland
author
  • Institute of Nuclear Physics, Polish Academy of Sciences, Radzikowskiego 152, PL-31-342 Kraków, Poland
author
  • Institute of Nuclear Physics, Polish Academy of Sciences, Radzikowskiego 152, PL-31-342 Kraków, Poland
author
  • Institute of Nuclear Physics, Polish Academy of Sciences, Radzikowskiego 152, PL-31-342 Kraków, Poland
  • Institute of Physics, University of Rzeszów, PL-35-310 Rzeszów, Poland
author
  • Institute of Physics, University of Rzeszów, PL-35-310 Rzeszów, Poland
References
  • 1. C. Monthus, T. Garel, Phys. Rev. E 75, 051122 (2007)
  • 2. B.M. Schäfer, W. Hofmann, H. Lampeitl, M. Hemberger, Nucl. Instrum. Methods Phys. Res. A 465, 394 (2001)
  • 3. E. Nogueira Jr., R.F.S. Andrade, S. Coutinho, Physica A 360, 365 (2006)
  • 4. A. Ordemann, M. Porto, H.E. Roman, S. Havlin, A. Bunde, Phys. Rev. E 61, 6858 (2000)
  • 5. M. Barthelemy, S.V. Buldyrev, S. Havlin, H.E. Stanley, Phys. Rev. E (Rapid Commun.) 61, R3283 (2000)
  • 6. C.-K. Peng, S.V. Buldyrev, S. Havlin, M. Simons, H.E. Stanley, A.L. Goldberger, Phys. Rev. E 49, 1685 (1994)
  • 7. S.V. Buldyrev, A.L. Goldberger, S. Havlin, R.N. Mantegna, M.E. Matsa, C.-K. Peng, M. Simons, H.E. Stanley, Phys. Rev. E 51, 5084 (1995)
  • 8. A. Arneodo, Y. d'Aubenton-Carafa, E. Bacry, P.V. Graves, J.F. Muzy, C. Thermes, Physica D 96, 291 (1996)
  • 9. J.M. Hausdorff, Y. Ashkenazy, C.-K. Peng, P.Ch. Ivanov, H.E. Stanley, A.L. Goldberger, Physica A 302, 138 (2001)
  • 10. B.B. Mandelbrot, The Fractal Geometry of Nature, Freeman, New York 1982
  • 11. Z. Eisler, J. Kertész, Physica A 343, 603 (2004)
  • 12. P. Oświęcimka, J. Kwapień, S. Drożdż, Phys. Rev. E 74, 016103 (2006)
  • 13. K. Ohashi, L.A.N. Amaral, B.H. Natelson, Y. Yamamoto, Phys. Rev. E 68, 065204(R) (2003)
  • 14. N.B. Ferreira, R. Menezes, D.A. Mendes, Physica A 382, 73 (2007)
  • 15. A.Z. Górski, S. Drożdż, J. Speth, Physica A 316, 496 (2002)
  • 16. J.W. Kantelhardt, S.A. Zschiegner, E. Koscielny-Bunde, S. Havlin, A. Bunde, H.E. Stanley, Physica A 316, 87 (2002)
  • 17. P. Oświęcimka, J. Kwapień, S. Drożdż, Physica A 347, 626 (2005)
  • 18. P. Oświęcimka, J. Kwapień, S. Drożdż, A.Z. Górski, R. Rak, Acta Phys. Pol. B 37, 3083 (2006)
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.bwnjournal-article-appv114n308kz
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.