Different Fractal Properties of Positive and Negative Returns

• Authors: P. Oświęcimka , J. Kwapień , A. Górski , S. Drożdż , R. Rak
• 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

89.20.-a; 89.65.Gh

Discipline

• 89.20.-a: Interdisciplinary applications of physics
• 89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)

• Publisher: Institute of Physics, Polish Academy of Sciences
• Journal: Acta Physica Polonica A
• Year: 2008
• Volume: 114
• Issue: 3
• Pages: 547-553

Dates

published

2008-09

received

2007-11-22

Contributors

author

P. Oświęcimka

• Institute of Nuclear Physics, Polish Academy of Sciences, Radzikowskiego 152, PL-31-342 Kraków, Poland

author

J. Kwapień

• Institute of Nuclear Physics, Polish Academy of Sciences, Radzikowskiego 152, PL-31-342 Kraków, Poland

author

A. Górski

• Institute of Nuclear Physics, Polish Academy of Sciences, Radzikowskiego 152, PL-31-342 Kraków, Poland

author

S. Drożdż

• 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

R. Rak

• Institute of Physics, University of Rzeszów, PL-35-310 Rzeszów, Poland

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Identifiers

DOI

10.12693/APhysPolA.114.547