Detecting switching points using asymmetric detrended fluctuation analysis
Autor(a) principal: | |
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Data de Publicação: | 2012 |
Outros Autores: | , , |
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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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: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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 |
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openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional da UFBA instname:Universidade Federal da Bahia (UFBA) instacron:UFBA |
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Universidade Federal da Bahia (UFBA) |
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UFBA |
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UFBA |
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Repositório Institucional da UFBA |
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Repositório Institucional da UFBA |
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