科研之友
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摘要
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. By calculating the singularity spectra f (alpha) 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, which is manifested by larger values of the corresponding Holder exponents. As regards the properties of dominant trends, a bear market is more persistent than the bull market irrespective of the sign of fluctuations.
- 出版日期2008-9
