Cargando…

Asymmetric Fractal Characteristics and Market Efficiency Analysis of Style Stock Indices

As a typical complex system, the stock market has attracted the attention of scholars and investors to comprehensively understand its fractal characteristics and analyze its market efficiency. Firstly, this paper proposes an asymmetric, detrended fluctuation analysis based on overlapping sliding win...

Descripción completa

Detalles Bibliográficos
Autores principales: Xu, Chao, Ke, Jinchuan, Peng, Zhikai, Fang, Wen, Duan, Yu
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2022
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9319125/
https://www.ncbi.nlm.nih.gov/pubmed/35885191
http://dx.doi.org/10.3390/e24070969
_version_ 1784755473001480192
author Xu, Chao
Ke, Jinchuan
Peng, Zhikai
Fang, Wen
Duan, Yu
author_facet Xu, Chao
Ke, Jinchuan
Peng, Zhikai
Fang, Wen
Duan, Yu
author_sort Xu, Chao
collection PubMed
description As a typical complex system, the stock market has attracted the attention of scholars and investors to comprehensively understand its fractal characteristics and analyze its market efficiency. Firstly, this paper proposes an asymmetric, detrended fluctuation analysis based on overlapping sliding windows (OSW-A-MFDFA). It reduces the generation of fluctuation errors, and the calculation results are more robust and reliable. The advantage of the OSW-A-MFDFA is that it not only can reveal the multifractal characteristics of time series clearly, but also can further accurately analyze the asymmetry of fractal characteristics under different trends. Secondly, this paper focuses on the variation in the width difference and height difference of the multifractal spectrum under different trends. Finally, based on multifractality, this paper proposes a comprehensive indicator MED that can be used to measure market efficiency, which is characterized by traversing all fluctuation orders. The application revealed many interesting findings in style stock indices. Style stock indices have asymmetric multifractal characteristics, and there are significant differences in the fractal spectrum of different style assets. Moreover, the market efficiency of style stock indices is time-varying, which can be reasonably explained from the perspective of the adaptive market hypothesis.
format Online
Article
Text
id pubmed-9319125
institution National Center for Biotechnology Information
language English
publishDate 2022
publisher MDPI
record_format MEDLINE/PubMed
spelling pubmed-93191252022-07-27 Asymmetric Fractal Characteristics and Market Efficiency Analysis of Style Stock Indices Xu, Chao Ke, Jinchuan Peng, Zhikai Fang, Wen Duan, Yu Entropy (Basel) Article As a typical complex system, the stock market has attracted the attention of scholars and investors to comprehensively understand its fractal characteristics and analyze its market efficiency. Firstly, this paper proposes an asymmetric, detrended fluctuation analysis based on overlapping sliding windows (OSW-A-MFDFA). It reduces the generation of fluctuation errors, and the calculation results are more robust and reliable. The advantage of the OSW-A-MFDFA is that it not only can reveal the multifractal characteristics of time series clearly, but also can further accurately analyze the asymmetry of fractal characteristics under different trends. Secondly, this paper focuses on the variation in the width difference and height difference of the multifractal spectrum under different trends. Finally, based on multifractality, this paper proposes a comprehensive indicator MED that can be used to measure market efficiency, which is characterized by traversing all fluctuation orders. The application revealed many interesting findings in style stock indices. Style stock indices have asymmetric multifractal characteristics, and there are significant differences in the fractal spectrum of different style assets. Moreover, the market efficiency of style stock indices is time-varying, which can be reasonably explained from the perspective of the adaptive market hypothesis. MDPI 2022-07-13 /pmc/articles/PMC9319125/ /pubmed/35885191 http://dx.doi.org/10.3390/e24070969 Text en © 2022 by the authors. https://creativecommons.org/licenses/by/4.0/Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/).
spellingShingle Article
Xu, Chao
Ke, Jinchuan
Peng, Zhikai
Fang, Wen
Duan, Yu
Asymmetric Fractal Characteristics and Market Efficiency Analysis of Style Stock Indices
title Asymmetric Fractal Characteristics and Market Efficiency Analysis of Style Stock Indices
title_full Asymmetric Fractal Characteristics and Market Efficiency Analysis of Style Stock Indices
title_fullStr Asymmetric Fractal Characteristics and Market Efficiency Analysis of Style Stock Indices
title_full_unstemmed Asymmetric Fractal Characteristics and Market Efficiency Analysis of Style Stock Indices
title_short Asymmetric Fractal Characteristics and Market Efficiency Analysis of Style Stock Indices
title_sort asymmetric fractal characteristics and market efficiency analysis of style stock indices
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9319125/
https://www.ncbi.nlm.nih.gov/pubmed/35885191
http://dx.doi.org/10.3390/e24070969
work_keys_str_mv AT xuchao asymmetricfractalcharacteristicsandmarketefficiencyanalysisofstylestockindices
AT kejinchuan asymmetricfractalcharacteristicsandmarketefficiencyanalysisofstylestockindices
AT pengzhikai asymmetricfractalcharacteristicsandmarketefficiencyanalysisofstylestockindices
AT fangwen asymmetricfractalcharacteristicsandmarketefficiencyanalysisofstylestockindices
AT duanyu asymmetricfractalcharacteristicsandmarketefficiencyanalysisofstylestockindices