Detecting switching points using asymmetric detrended fluctuation analysis

Miguel A. Rivera-Castro, José G.V. Miranda, Daniel Cajueiro and Roberto F.S. Andrade

Physica A: Statistical Mechanics and its Applications, 2012, vol. 391, issue 1, 170-179

Abstract: This work uses the concept of Asymmetric Detrended Fluctuation Analysis (A-DFA) to investigate and characterize the occurrence of trend switching in financial series. A-DFA introduces two new roughness exponents, H+ and H−, which differ from the usual one H by separately taking into account contributions to the fluctuations according to whether the local trend is, respectively, upward or downward. The developed methodology requires the evaluation of local values of H(t),H+(t), and H−(t), by restricting the size of the largest window around the value t. We show that H+(t) and H−(t) behave differently in the neighborhoods of switching points (SPs) where trends change sign. Properly taken differences between shifted local values of H(t),H+(t), and H−(t) allow to identify and characterize SP’s. Tests with Weiertrasse functions, isolated peaks, and actual financial series are presented, supporting the validity of the proposed method.

Keywords: Switching points; Asymmetric fluctuations; Local detrended analysis; Financial series (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437111005565
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:391:y:2012:i:1:p:170-179

DOI: 10.1016/j.physa.2011.07.009

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().