Crossover Phenomena in Detrended Fluctuation Analysis Used in Financial Markets.pdfVIP

Commun．Theor．Phys．(Beijing，China)51(2009)PP．358—362 @ ChinesePhysicalSocietyandIOPPublishingLtd Vo1．51，No．2，February15，2009 CrossoverPhenomena inDetrended Fluctuation AnalysisUsed in FinancialM arkets MA Shi—Haot CollegeofPhysicalScienceandTechnology，HuazhongNormalUniversity,W uhan430079，China (ReceivedApril8，2008；RevisedJune20，2008) Abstract A systematicanMgsis0fshanghaiandJapanstockindicesfortheperiodofJan．1984toDec．2005is performed．AfterstationarityisverifiedbyADFrAugmentedDickey-~ller)test，thepowerspectrumofthedataexhibits apowerlawdecayasawholecharacterizedby1／f processeswithpossiblelongrangecorrelations．Subsequently,by usingthemethodofdetrendedfluctuationanalysisrDFA)ofthegeneralvolatilityinthestockmarkets，wefindthatthe long-rangecorrelationsareoccurredamongthereturnseriesandthecrossoverphenomenaexhibitintheresultsobviously． Further．Shanghaistockmarketshowslong-rangecorrelationsinshorttimescaleandshowsshort—rangecorrelationsin longtimescale．Whereas，ofrJapanstockmarket，thedatabehavesoppositelyabsolutely．Last，wecomparethevarying ofscaleexponentin largevolatility between twostockmarkets．A11resultsobtainedmay indicatethepossibility of characteristicofmultifractalscaling behaviorofthefinancialmarkets． PACSnumbers：89．65．Gh，89．65．一s，05．45．Tp Key words：financialmarket，crossoverphenomena，detrendedfluctuationanalysis 1 Introduction separatingregimeswithdifferentscalingexponents[一 】 Inrecentyears．therehavebeenmanyevidencesindi— Thecrossoverphenomenonisalwaysacommonchallenge cating thatmanyphysical，biological，and financialsys— foral1systemswheretheDFA methodwas applied．A temsexhibit complex behavior characterized by long- crossoverisusually dueto achange in thecorrelation range power law correlations． Traditionalapproaches propertiesofthesignalatdifferenttim eorspacescales，