A multi-scale symmetry analysis of uninterrupted trends returns in daily financial indices

C.M. Rodríguez-Martínez, H.F. Coronel-Brizio and A.R. Hernández-Montoya

Physica A: Statistical Mechanics and its Applications, 2021, vol. 574, issue C

Abstract: We present a symmetry analysis of the distribution of variations of different financial indices, by means of a statistical procedure developed by the authors based on a symmetry statistic by Einmahl and Mckeague. We applied this statistical methodology to the here introduced financial uninterrupted daily trends returns and to other novel multi-scale observable defined as trend returns divided by their durations. In our opinion, to study distributional symmetry, trends returns offer more advantages than the commonly used daily financial returns; the two most important being: (1) Trends returns involve sampling over different time scales and (2) By construction, this variable time series contains practically the same number of non-negative and negative entry values.

Keywords: Econophysics; Symmetry test; Returns distribution; Gain/loss asymmetry; Symmetry point; Symmetry interval (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:574:y:2021:i:c:s0378437121002545

DOI: 10.1016/j.physa.2021.125982

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