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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...
Autores principales: | , , , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
MDPI
2022
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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 |
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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 |
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