Crossover Phenomena in Detrended Fluctuation Analysis Used in Financial Markets

• 来源期刊: 理论物理通讯(英文版)
• 年，卷（期）: 2009,（2）
• 页码范围: 358-362
• 页数: 5页
• 语种: 英文

摘要

A systematic analysis of Shanghai and Japan stock indices for the period of Jan.1984 to Dec.2005 is performed.After stationarity is verified by ADF (Augmented Dickey-Fuller) test, the power spectrum of the data exhibits a power law decay as a whole characterized by 1/fβ processes with possible long range correlations.Subsequently, by using the method of detrended fluctuation analysis (DFA) of the genera/volatility in the stock markets, we find that the long-range correlations are occurred among the return series and the crossover phenomena exhibit in the results obviously.Further, Shanghai stock market shows long-range correlations in short time scale and shows short-range correlations in long time scale.Whereas, for Japan stock market, the data behaves oppositely absolutely.Last, we compare the varying of scale exponent in large volatility between two stock markets.All results obtained may indicate the possibility of characteristic of multifractal scaling behavior of the financial markets.