Multiscale multifractal time irreversibility analysis of stock markets

作者：Jiang, Chenguang; Shang, Pengjian^*; Shi, Wenbin

来源：Physica A: Statistical Mechanics and Its Applications , 2016, 462: 492-507.

DOI：10.1016/j.physa.2016.06.092

• Multiscale multifractal time irreversibility analysis(MMRA)
• Segment size
• Statistical moments
• Delayed Henon map
• Binomial multifractal model
• Stock markets

Time irreversibility is one of the most important properties of nonstationary time series. Complex time series often demonstrate even multiscale time irreversibility, such that not only the original but also coarse-grained time series are asymmetric over a wide range of scales. We study the multiscale time irreversibility of time series. In this paper, we develop a method called multiscale multifractal time irreversibility analysis (MMRA), which allows us to extend the description of time irreversibility to include the dependence on the segment size and statistical moments. We test the effectiveness of MMRA in detecting multifractality and time irreversibility of time series generated from delayed Henon map and binomial multifractal model. Then we employ our method to the time irreversibility analysis of stock markets in different regions. We find that the emerging market has higher multifractality degree and time irreversibility compared with developed markets. In this sense, the MMRA method may provide new angles in assessing the evolution stage of stock markets.

• 出版日期2016-11-15
• 单位北京交通大学