Detecting switching points using asymmetric detrended fluctuation analysis

Detalhes bibliográficos
Autor(a) principal: Castro, Miguel Angel Rivera
Data de Publicação: 2012
Outros Autores: Miranda, José Garcia Vivas, Cajueiro, Daniel Oliveira, Andrade, Roberto Fernandes Silva
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UFBA
Texto Completo: http://www.repositorio.ufba.br/ri/handle/ri/5302
Resumo: texto completo: acesso restrito. p.170–179
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spelling Castro, Miguel Angel RiveraMiranda, José Garcia VivasCajueiro, Daniel OliveiraAndrade, Roberto Fernandes SilvaCastro, Miguel Angel RiveraMiranda, José Garcia VivasCajueiro, Daniel OliveiraAndrade, Roberto Fernandes Silva2012-02-03T23:02:17Z20120378-4371http://www.repositorio.ufba.br/ri/handle/ri/5302v. 391.texto completo: acesso restrito. p.170–179This 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.Submitted by Ana Valéria de Jesus Moura (anavaleria_131@hotmail.com) on 2012-02-03T23:02:17Z No. of bitstreams: 1 Detecting switching points using asymmetric detrended fluctuation.pdf: 525716 bytes, checksum: 951dfafec2f6cdb2f2597959770170b6 (MD5)Made available in DSpace on 2012-02-03T23:02:17Z (GMT). No. of bitstreams: 1 Detecting switching points using asymmetric detrended fluctuation.pdf: 525716 bytes, checksum: 951dfafec2f6cdb2f2597959770170b6 (MD5) Previous issue date: 2012Switching pointsAsymmetric fluctuationsLocal detrended analysisFinancial seriesDetecting switching points using asymmetric detrended fluctuation analysisPhysica A: Statistical Mechanics and its Applicationsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article10000-01-01engreponame:Repositório Institucional da UFBAinstname:Universidade Federal da Bahia (UFBA)instacron:UFBAinfo:eu-repo/semantics/openAccessORIGINALDetecting switching points using asymmetric detrended fluctuation.pdfDetecting switching points using asymmetric detrended fluctuation.pdfapplication/pdf525716https://repositorio.ufba.br/bitstream/ri/5302/1/Detecting%20switching%20points%20using%20asymmetric%20detrended%20fluctuation.pdf951dfafec2f6cdb2f2597959770170b6MD51LICENSElicense.txtlicense.txttext/plain1762https://repositorio.ufba.br/bitstream/ri/5302/2/license.txt1b89a9a0548218172d7c829f87a0eab9MD52TEXTDetecting switching points using asymmetric detrended fluctuation.pdf.txtDetecting switching points using asymmetric detrended fluctuation.pdf.txtExtracted texttext/plain34678https://repositorio.ufba.br/bitstream/ri/5302/3/Detecting%20switching%20points%20using%20asymmetric%20detrended%20fluctuation.pdf.txtb3dfd658257752ba607beb800dfcb724MD53ri/53022022-07-05 14:03:35.781oai:repositorio.ufba.br:ri/5302VGVybW8gZGUgTGljZW7vv71hLCBu77+9byBleGNsdXNpdm8sIHBhcmEgbyBkZXDvv71zaXRvIG5vIHJlcG9zaXTvv71yaW8gSW5zdGl0dWNpb25hbCBkYSBVRkJBCgogICAgUGVsbyBwcm9jZXNzbyBkZSBzdWJtaXNz77+9byBkZSBkb2N1bWVudG9zLCBvIGF1dG9yIG91IHNldQpyZXByZXNlbnRhbnRlIGxlZ2FsLCBhbyBhY2VpdGFyIGVzc2UgdGVybW8gZGUgbGljZW7vv71hLCBjb25jZWRlIGFvClJlcG9zaXTvv71yaW8gSW5zdGl0dWNpb25hbCBkYSBVbml2ZXJzaWRhZGUgRmVkZXJhbCBkYSBCYWhpYSBvIGRpcmVpdG8KZGUgbWFudGVyIHVtYSBj77+9cGlhIGVtIHNldSByZXBvc2l077+9cmlvIGNvbSBhIGZpbmFsaWRhZGUsIHByaW1laXJhLCAKZGUgcHJlc2VydmHvv73vv71vLiBFc3NlcyB0ZXJtb3MsIG7vv71vIGV4Y2x1c2l2b3MsIG1hbnTvv71tIG9zIGRpcmVpdG9zIGRlIAphdXRvci9jb3B5cmlnaHQsIG1hcyBlbnRlbmRlIG8gZG9jdW1lbnRvIGNvbW8gcGFydGUgZG8gYWNlcnZvIGludGVsZWN0dWFsIGRlc3NhIFVuaXZlcnNpZGFkZS4gCgogICAgUGFyYSBvcyBkb2N1bWVudG9zIHB1YmxpY2Fkb3MgY29tIHJlcGFzc2UgZGUgZGlyZWl0b3MgZGUgZGlzdHJpYnVp77+977+9bywgZXNzZSB0ZXJtbyBkZSBsaWNlbu+/vWEgZW50ZW5kZSBxdWU6IAoKICAgIE1hbnRlbmRvIG9zICBkaXJlaXRvcyBhdXRvcmFpcywgcmVwYXNzYWRvcyBhIHRlcmNlaXJvcywgZW0gY2FzbyAKZGUgcHVibGljYe+/ve+/vWVzLCBvIHJlcG9zaXTvv71yaW8gcG9kZSByZXN0cmluZ2lyIG8gYWNlc3NvIGFvIHRleHRvIAppbnRlZ3JhbCwgbWFzIGxpYmVyYSBhcyBpbmZvcm1h77+977+9ZXMgc29icmUgbyBkb2N1bWVudG8gKE1ldGFkYWRvcyBkZXNjcml0aXZvcykuCgogRGVzdGEgZm9ybWEsIGF0ZW5kZW5kbyBhb3MgYW5zZWlvcyBkZXNzYSB1bml2ZXJzaWRhZGUgCmVtIG1hbnRlciBzdWEgcHJvZHXvv73vv71vIGNpZW5077+9ZmljYSBjb20gYXMgcmVzdHJp77+977+9ZXMgaW1wb3N0YXMgcGVsb3MgCmVkaXRvcmVzIGRlIHBlcmnvv71kaWNvcy4gCgogICAgUGFyYSBhcyBwdWJsaWNh77+977+9ZXMgZW0gaW5pY2lhdGl2YXMgcXVlIHNlZ3VlbSBhIHBvbO+/vXRpY2EgZGUgCkFjZXNzbyBBYmVydG8sIG9zIGRlcO+/vXNpdG9zIGNvbXB1bHPvv71yaW9zIG5lc3NlIHJlcG9zaXTvv71yaW8gbWFudO+/vW0gCm9zIGRpcmVpdG9zIGF1dG9yYWlzLCBtYXMgbWFudO+/vW0gbyBhY2Vzc28gaXJyZXN0cml0byBhbyBtZXRhZGFkb3MgCmUgdGV4dG8gY29tcGxldG8uIEFzc2ltLCBhIGFjZWl0Ye+/ve+/vW8gZGVzc2UgdGVybW8gbu+/vW8gbmVjZXNzaXRhIGRlIApjb25zZW50aW1lbnRvIHBvciBwYXJ0ZSBkZSBhdXRvcmVzL2RldGVudG9yZXMgZG9zIGRpcmVpdG9zLCBwb3IgCmVzdGFyZW0gZW0gaW5pY2lhdGl2YXMgZGUgYWNlc3NvIGFiZXJ0by4KCiAgICBFbSBhbWJvcyBvIGNhc28sIGVzc2UgdGVybW8gZGUgbGljZW7vv71hLCBwb2RlIHNlciBhY2VpdG8gcGVsbyAKYXV0b3IsIGRldGVudG9yZXMgZGUgZGlyZWl0b3MgZS9vdSB0ZXJjZWlyb3MgYW1wYXJhZG9zIHBlbGEgCnVuaXZlcnNpZGFkZS4gRGV2aWRvIGFvcyBkaWZlcmVudGVzIHByb2Nlc3NvcyBwZWxvIHF1YWwgYSBzdWJtaXNz77+9byAKcG9kZSBvY29ycmVyLCBvIHJlcG9zaXTvv71yaW8gcGVybWl0ZSBhIGFjZWl0Ye+/ve+/vW8gZGEgbGljZW7vv71hIHBvciAKdGVyY2Vpcm9zLCBzb21lbnRlIG5vcyBjYXNvcyBkZSBkb2N1bWVudG9zIHByb2R1emlkb3MgcG9yIGludGVncmFudGVzIApkYSBVRkJBIGUgc3VibWV0aWRvcyBwb3IgcGVzc29hcyBhbXBhcmFkYXMgcG9yIGVzdGEgaW5zdGl0dWnvv73vv71vLgo=Repositório InstitucionalPUBhttp://192.188.11.11:8080/oai/requestopendoar:19322022-07-05T17:03:35Repositório Institucional da UFBA - Universidade Federal da Bahia (UFBA)false
dc.title.pt_BR.fl_str_mv Detecting switching points using asymmetric detrended fluctuation analysis
dc.title.alternative.pt_BR.fl_str_mv Physica A: Statistical Mechanics and its Applications
title Detecting switching points using asymmetric detrended fluctuation analysis
spellingShingle Detecting switching points using asymmetric detrended fluctuation analysis
Castro, Miguel Angel Rivera
Switching points
Asymmetric fluctuations
Local detrended analysis
Financial series
title_short Detecting switching points using asymmetric detrended fluctuation analysis
title_full Detecting switching points using asymmetric detrended fluctuation analysis
title_fullStr Detecting switching points using asymmetric detrended fluctuation analysis
title_full_unstemmed Detecting switching points using asymmetric detrended fluctuation analysis
title_sort Detecting switching points using asymmetric detrended fluctuation analysis
author Castro, Miguel Angel Rivera
author_facet Castro, Miguel Angel Rivera
Miranda, José Garcia Vivas
Cajueiro, Daniel Oliveira
Andrade, Roberto Fernandes Silva
author_role author
author2 Miranda, José Garcia Vivas
Cajueiro, Daniel Oliveira
Andrade, Roberto Fernandes Silva
author2_role author
author
author
dc.contributor.author.fl_str_mv Castro, Miguel Angel Rivera
Miranda, José Garcia Vivas
Cajueiro, Daniel Oliveira
Andrade, Roberto Fernandes Silva
Castro, Miguel Angel Rivera
Miranda, José Garcia Vivas
Cajueiro, Daniel Oliveira
Andrade, Roberto Fernandes Silva
dc.subject.por.fl_str_mv Switching points
Asymmetric fluctuations
Local detrended analysis
Financial series
topic Switching points
Asymmetric fluctuations
Local detrended analysis
Financial series
description texto completo: acesso restrito. p.170–179
publishDate 2012
dc.date.accessioned.fl_str_mv 2012-02-03T23:02:17Z
dc.date.issued.fl_str_mv 2012
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://www.repositorio.ufba.br/ri/handle/ri/5302
dc.identifier.issn.none.fl_str_mv 0378-4371
dc.identifier.number.pt_BR.fl_str_mv v. 391.
identifier_str_mv 0378-4371
v. 391.
url http://www.repositorio.ufba.br/ri/handle/ri/5302
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.none.fl_str_mv reponame:Repositório Institucional da UFBA
instname:Universidade Federal da Bahia (UFBA)
instacron:UFBA
instname_str Universidade Federal da Bahia (UFBA)
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reponame_str Repositório Institucional da UFBA
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