330 research outputs found
Different fractal properties of positive and negative returns
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
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.Comment: presented at FENS2007 conference, 8 pages, 4 Fig
Cross-correlations in Warsaw Stock Exchange
We study the inter-stock correlations for the largest companies listed on
Warsaw Stock Exchange and included in the WIG20 index. Our results from the
correlation matrix analysis indicate that the Polish stock market can be well
described by a one factor model. We also show that the stock-stock correlations
tend to increase with the time scale of returns and they approach a saturation
level for the time scales of at least 200 min, i.e. an order of magnitude
longer than in the case of some developed markets. We also show that the
strength of correlations among the stocks crucially depends on their
capitalization. These results combined with our earlier findings together
suggest that now the Polish stock market situates itself somewhere between an
emerging market phase and a mature market phase.Comment: presented by R.Rak at FENS2007 conference, 9 pages, 4 Fig
Precursor flares in OJ 287
We have studied three most recent precursor flares in the light curve of the
blazar OJ 287 while invoking the presence of a precessing binary black hole in
the system to explain the nature of these flares. Precursor flare timings from
the historical light curves are compared with theoretical predictions from our
model that incorporate effects of an accretion disk and post-Newtonian
description for the binary black hole orbit. We find that the precursor flares
coincide with the secondary black hole descending towards the accretion disk of
the primary black hole from the observed side, with a mean z-component of
approximately z_c = 4000 AU. We use this model of precursor flares to predict
that precursor flare of similar nature should happen around 2020.96 before the
next major outburst in 2022.Comment: to appear in the Astrophysical Journa
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