Different fractal properties of positive and negative returns

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dc.creatorOswiecimka, P.
dc.creatorKwapien, J.
dc.creatorDrozdz, S.
dc.creatorGorski, A. Z.
dc.creatorRak, R.
dc.date2008-03-10
dc.date.accessioned2026-07-07T12:05:43Z
dc.date.available2026-07-07T12:05:43Z
dc.descriptionWe perform an analysis of fractal properties of the positive and the negative changes of the German DAX30 index separately using Multifractal Detrended Fluctuation Analysis (MFDFA). By calculating the singularity spectra $f(α)$ 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, what is manifested by larger values of the corresponding Hölder exponents. As regards the properties of dominant trends, a bear market is more persistent than the bull market irrespective of the sign of fluctuations.
dc.descriptionpresented at FENS2007 conference, 8 pages, 4 Figs
dc.identifierhttps://arxiv.org/abs/0803.1374
dc.identifierhttp://arxiv.org/abs/0803.1374
dc.identifierActa Physica Polonica A Vol. 114 No 3. page 547 (2008)
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208451
dc.subjectStatistical Finance
dc.subjectPhysics and Society
dc.titleDifferent fractal properties of positive and negative returns
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