Different fractal properties of positive and negative returns

P. Oswiecimka, J. Kwapien, S. Drozdz, A. Z. Gorski and R. Rak

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Abstract: 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 (MFDFA). By calculating the singularity spectra $f(\alpha)$ 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, what is manifested by larger values of the corresponding H\"{o}lder exponents. As regards the properties of dominant trends, a bear market is more persistent than the bull market irrespective of the sign of fluctuations.

Date: 2008-03
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Published in Acta Physica Polonica A Vol. 114 No 3. page 547 (2008)

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