Long memory in international financial markets trends and short movements during 2008 financial crisis based on variational mode decomposition and detrended fluctuation analysis

被引：90
|
作者：
Lahmiri, Salim [1 ]
机构：
[1] ESCA Sch Management, Casablanca, Morocco
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2015年 / 437卷
关键词：
Long memory; Financial time series; Variational mode decomposition; Detrended fluctuation; Trend; Short term variations; LOCAL HURST EXPONENT; WIND-SPEED RECORDS; TIME-SERIES; SCALING BEHAVIOR; STOCK; MULTIFRACTALITY; DEPENDENCE;
D O I：
10.1016/j.physa.2015.05.067
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
The purpose of this study is to investigate long-range dependence in trend and short variation of stock market price and return series before, during, and after 2008 financial crisis. Variational mode decomposition (VMD), a newly introduced technique for signal processing, is adopted to decompose stock market data into a finite set of modes so as to obtain long term trends and short term movements of stock market data. Then, the detrended fluctuation analysis (DFA) and range scale (R/S) analysis are used to estimate Hurst exponent in each variational mode obtained from VMD. For both price and return series, the empirical results from twelve international stock markets show evidence that long term trends are persistent, whilst short term variations are anti-persistent before, during, and after 2008 financial crisis. (C) 2015 Published by Elsevier B.V.
引用
收藏
页码：130 / 138
页数：9
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