31 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
Statistical Properties of Fluctuations: A Method to Check Market Behavior
We analyze the Bombay stock exchange (BSE) price index over the period of
last 12 years. Keeping in mind the large fluctuations in last few years, we
carefully find out the transient, non-statistical and locally structured
variations. For that purpose, we make use of Daubechies wavelet and
characterize the fractal behavior of the returns using a recently developed
wavelet based fluctuation analysis method. the returns show a fat-tail
distribution as also weak non-statistical behavior. We have also carried out
continuous wavelet as well as Fourier power spectral analysis to characterize
the periodic nature and correlation properties of the time series.Comment: 9 pages, 6 figures, Econophys-IV, Kolkata, 200