科研之友
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摘要
We detect the asymmetric multi-fractality in the U.S. stock indices based on the asymmetric multi-fractal detrended fluctuation analysis (A-MFDFA). Instead using the conventional return-based approach, we propose the index-based model of A-MFDFA where the trend based on the evolution of stock index rather than stock price return plays a role for evaluating the asymmetric scaling behaviors. The results show that the multi-fractal behaviors of the U.S. stock indices are asymmetric and the index-based model detects the asymmetric multi-fractality better than return-based model. We also discuss the source of multifractality and its asymmetry and observe that the multi-fractal asymmetry in the U.S. stock indices has a time-varying feature where the degree of multi-fractality and asymmetry increase during the financial crisis.
- 出版日期2017-4
