Detecting switching points using asymmetric detrended fluctuation analysis

作者：Rivera Castro Miguel A; Miranda Jose G V; Cajueiro Daniel O; Andrade Roberto F S^*

来源：Physica A: Statistical Mechanics and Its Applications , 2012, 391(1-2): 170-179.

DOI：10.1016/j.physa.2011.07.009

• Switching points
• Asymmetric fluctuations
• Local detrended analysis
• Financial series

This 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%26apos;s. Tests with Weiertrasse functions, isolated peaks, and actual financial series are presented, supporting the validity of the proposed method.

• 出版日期2012-1-1