Detrended fluctuation analysis based on higher-order moments of financial time series

2018 ◽  
Vol 490 ◽  
pp. 311-322 ◽  
Author(s):  
Yue Teng ◽  
Pengjian Shang
Keyword(s):  
Time Series ◽  
Detrended Fluctuation Analysis ◽  
Financial Time Series ◽  
Higher Order ◽  
Fluctuation Analysis ◽  
Higher Order Moments ◽  
Financial Time ◽  
Detrended Fluctuation

scholarly journals Investigating Long-Range Dependence of Emerging Asian Stock Markets Using Multifractal Detrended Fluctuation Analysis

Symmetry ◽  
2020 ◽  
Vol 12 (7) ◽  
pp. 1157
Author(s):  
Faheem Aslam ◽  
Saima Latif ◽  
Paulo Ferreira
Keyword(s):  
Time Series ◽  
Long Range ◽  
Stock Markets ◽  
Detrended Fluctuation Analysis ◽  
Financial Time Series ◽  
Long Range Dependence ◽  
Fluctuation Analysis ◽  
Multifractal Detrended Fluctuation Analysis ◽  
Financial Time ◽  
Detrended Fluctuation

The use of multifractal approaches has been growing because of the capacity of these tools to analyze complex properties and possible nonlinear structures such as those in financial time series. This paper analyzes the presence of long-range dependence and multifractal parameters in the stock indices of nine MSCI emerging Asian economies. Multifractal Detrended Fluctuation Analysis (MFDFA) is used, with prior application of the Seasonal and Trend Decomposition using the Loess (STL) method for more reliable results, as STL separates different components of the time series and removes seasonal oscillations. We find a varying degree of multifractality in all the markets considered, implying that they exhibit long-range correlations, which could be related to verification of the fractal market hypothesis. The evidence of multifractality reveals symmetry in the variation trends of the multifractal spectrum parameters of financial time series, which could be useful to develop portfolio management. Based on the degree of multifractality, the Chinese and South Korean markets exhibit the least long-range dependence, followed by Pakistan, Indonesia, and Thailand. On the contrary, the Indian and Malaysian stock markets are found to have the highest level of dependence. This evidence could be related to possible market inefficiencies, implying the possibility of institutional investors using active trading strategies in order to make their portfolios more profitable.

Multiscale multifractal multiproperty analysis of financial time series based on Rényi entropy

2017 ◽  
Vol 28 (02) ◽  
pp. 1750028 ◽  
Author(s):  
Yang Yujun ◽  
Li Jianping ◽  
Yang Yimei
Keyword(s):  
Time Series ◽  
Financial Time Series ◽  
Renyi Entropy ◽  
Rényi Entropy ◽  
Fluctuation Analysis ◽  
Multifractal Detrended Fluctuation Analysis ◽  
Financial Time ◽  
Stock Indices ◽  
Generalized Hurst Exponent ◽  
Detrended Fluctuation

This paper introduces a multiscale multifractal multiproperty analysis based on Rényi entropy (3MPAR) method to analyze short-range and long-range characteristics of financial time series, and then applies this method to the five time series of five properties in four stock indices. Combining the two analysis techniques of Rényi entropy and multifractal detrended fluctuation analysis (MFDFA), the 3MPAR method focuses on the curves of Rényi entropy and generalized Hurst exponent of five properties of four stock time series, which allows us to study more universal and subtle fluctuation characteristics of financial time series. By analyzing the curves of the Rényi entropy and the profiles of the logarithm distribution of MFDFA of five properties of four stock indices, the 3MPAR method shows some fluctuation characteristics of the financial time series and the stock markets. Then, it also shows a richer information of the financial time series by comparing the profile of five properties of four stock indices. In this paper, we not only focus on the multifractality of time series but also the fluctuation characteristics of the financial time series and subtle differences in the time series of different properties. We find that financial time series is far more complex than reported in some research works using one property of time series.

scholarly journals GO-GJRSK Model with Application to Higher Order Risk-Based Portfolio

Mathematics ◽  
2020 ◽  
Vol 8 (11) ◽  
pp. 1990
Author(s):  
Kei Nakagawa ◽  
Yusuke Uchiyama
Keyword(s):  
Time Series ◽  
Stock Prices ◽  
Financial Time Series ◽  
Higher Order ◽  
Estimation Methods ◽  
Time Series Modeling ◽  
Higher Order Moments ◽  
Financial Time ◽  
Proposed Model ◽  
Multivariate Financial Time Series

There are three distinguishing features in the financial time series, such as stock prices, are as follows: (1) Non-normality, (2) serial correlation, and (3) leverage effect. All three points need to be taken into account to model the financial time series. However, multivariate financial time series modeling involves a large number of stocks, with many parameters to be estimated. Therefore, there are few examples of multivariate financial time series modeling that explicitly deal with higher-order moments. Furthermore, there is no multivariate financial time series model that takes all three characteristics above into account. In this study, we propose the generalized orthogonal (GO)-Glosten, Jagannathan, and Runkle GARCH (GJR) model which extends the GO-generalized autoregressive conditional heteroscedasticity (GARCH) model and incorporates the three features of the financial time series. We confirm the effectiveness of the proposed model by comparing the performance of risk-based portfolios with higher-order moments. The results show that the performance with our proposed model is superior to that with baseline methods, and indicate that estimation methods are important in risk-based portfolios with higher moments.

Generalized AIC method based on higher-order moments and entropy of financial time series

2018 ◽  
Vol 505 ◽  
pp. 1127-1138 ◽  
Author(s):  
Shiyun Xu ◽  
Menglin Shao ◽  
Wenxuan Qiao ◽  
Pengjian Shang
Keyword(s):  
Time Series ◽  
Financial Time Series ◽  
Higher Order ◽  
Higher Order Moments ◽  
Financial Time

scholarly journals AUTOMATICALLY DETECTING "SIGNIFICANT EVENTS" ON SenseCam

2013 ◽  
Vol 11 (06) ◽  
pp. 1350050 ◽  
Author(s):  
NA LI ◽  
MARTIN CRANE ◽  
HEATHER J. RUSKIN
Keyword(s):  
Time Series ◽  
Detrended Fluctuation Analysis ◽  
Time Windows ◽  
Fluctuation Analysis ◽  
Discrete Wavelet ◽  
Dominant Eigenvalue ◽  
Multiple Time ◽  
Correlation Relationship ◽  
Significant Events ◽  
Detrended Fluctuation

SenseCam is an effective memory-aid device that can automatically record images and other data from the wearer's whole day. The main issue is that, while SenseCam produces a sizeable collection of images over the time period, the vast quantity of captured data contains a large percentage of routine events, which are of little interest to review. In this article, the aim is to detect "Significant Events" for the wearers. We use several time series analysis methods such as Detrended Fluctuation Analysis (DFA), Eigenvalue dynamics and Wavelet Correlations to analyse the multiple time series generated by the SenseCam. We show that Detrended Fluctuation Analysis exposes a strong long-range correlation relationship in SenseCam collections. Maximum Overlap Discrete Wavelet Transform (MODWT) was used to calculate equal-time Correlation Matrices over different time scales and then explore the granularity of the largest eigenvalue and changes of the ratio of the sub-dominant eigenvalue spectrum dynamics over sliding time windows. By examination of the eigenspectrum, we show that these approaches enable detection of major events in the time SenseCam recording, with MODWT also providing useful insight on details of major events. We suggest that some wavelet scales (e.g., 8 minutes–16 minutes) have the potential to identify distinct events or activities.

(MULTI)FRACTALITY OF PHYSIOLOGICAL TIME-SERIES

2006 ◽  
Vol 16 (07) ◽  
pp. 2103-2110 ◽  
Author(s):  
ANDREA KNEŽEVIĆ ◽  
MLADEN MARTINIS
Keyword(s):  
Physical Activity ◽  
Time Series ◽  
Angina Pectoris ◽  
Stable Angina ◽  
Detrended Fluctuation Analysis ◽  
Fluctuation Analysis ◽  
Stable Angina Pectoris ◽  
Nonlinear Methods ◽  
Rr Interval ◽  
Detrended Fluctuation

This paper contains the application of fractal concept in analyzing heartbeat (RR interval) fluctuations measured under controlled physical activity for subjects with stable angina pectoris (SAP). Results that illustrate the separation ability of the nonlinear methods, such as the Hurst R/S method, the detrended fluctuation analysis, DFA, and the method of G-moments, in distinguishing healthy from SAP subjects in scaling parameter space are presented.

The scaling of time series size towards detrended fluctuation analysis

2016 ◽  
Vol 27 (11) ◽  
pp. 1650138
Author(s):  
Xiaolei Gao ◽  
Liwei Ren ◽  
Pengjian Shang ◽  
Guochen Feng
Keyword(s):  
Time Series ◽  
Stock Returns ◽  
Detrended Fluctuation Analysis ◽  
Finite Size ◽  
Finite Size Effect ◽  
Fluctuation Analysis ◽  
Exponential Relationship ◽  
Significant Information ◽  
Sequence Segmentation ◽  
Detrended Fluctuation

In this paper, we introduce a modification of detrended fluctuation analysis (DFA), called multivariate DFA (MNDFA) method, based on the scaling of time series size [Formula: see text]. In traditional DFA method, we obtained the influence of the sequence segmentation interval [Formula: see text], and it inspires us to propose a new model MNDFA to discuss the scaling of time series size towards DFA. The effectiveness of the procedure is verified by numerical experiments with both artificial and stock returns series. Results show that the proposed MNDFA method contains more significant information of series compared to traditional DFA method. The scaling of time series size has an influence on the auto-correlation (AC) in time series. For certain series, we obtain an exponential relationship, and also calculate the slope through the fitting function. Our analysis and finite-size effect test demonstrate that an appropriate choice of the time series size can avoid unnecessary influences, and also make the testing results more accurate.

scholarly journals The detrended fluctuation analysis of heartbeat intervals in time series during stress tests

2019 ◽  
Author(s):  
Amparo Salcedo-Martínez ◽  
Nancy Gabriela Pérez-López ◽  
José Alberto Zamora-Justo ◽  
Gonzalo Gálvez-Coyt ◽  
Alejandro Muñoz-Diosdado
Keyword(s):  
Time Series ◽  
Detrended Fluctuation Analysis ◽  
Fluctuation Analysis ◽  
Stress Tests ◽  
Detrended Fluctuation
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