Scaling analysis of stock markets

An empirical study on network conversion of stock time series based on STL method

A complex network has been widely used to reveal the rule of a complex system. How to convert the stock data into a network is an open issue since the stock data are so large and their random volatility is strong. In this paper, a seasonal trend decomposition procedure based on the loess ( S T L) method is applied to convert the stock time series into a directed and weighted symbolic network. Three empirical stock datasets, including the closing price of Shanghai Securities Composite Index, S&P 500 Index, and Nikkei 225 Index, are considered. The properties of these stock time series are revealed from the topological characteristics of corresponding symbolic networks. The results show that: (1) both the weighted indegree and outdegree distributions obey the power-law distribution well; (2) fluctuations of stock closing price are revealed by related network topological properties, such as weighting degree, betweenness, pageranks, and clustering coefficient; and (3) stock closing price, in particular, periods such as financial crises, can be identified by modularity class of the symbolic networks. Moreover, the comparison between the S T L method and the visibility graph further highlights the advantages of the S T L method in terms of the time complexity of the algorithm. Our method offers a new idea to study the network conversion of stock time series.

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 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.

Fractal stock markets: International evidence of dynamical (in)efficiency

The last systemic financial crisis has reawakened the debate on the efficient nature of financial markets, traditionally described as semimartingales. The standard approaches to endow the general notion of efficiency of an empirical content turned out to be somewhat inconclusive and misleading. We propose a topological-based approach to quantify the informational efficiency of a financial time series. The idea is to measure the efficiency by means of the pointwise regularity of a (stochastic) function, given that the signature of a martingale is that its pointwise regularity equals 12. We provide estimates for real financial time series and investigate their (in)efficient behavior by comparing three main stock indexes.

Asymmetric multiscale detrended cross-correlation analysis of financial time series

We propose the asymmetric multiscale detrended cross-correlation analysis (MS-ADCCA) method and apply MS-ADCCA method to explore the existence of asymmetric cross-correlation for daily price returns in US and Chinese stock markets and to assess the properties of these asymmetric cross-correlations. The results all show the existences of asymmetric cross-correlations, while small asymmetries at small scales and larger asymmetries at larger scales are also displayed. There is a strong similarity between S&P500 and DJI, and we reveal that the asymmetries depend more on the cross-correlations of S&P500 vs. DJI, S&P500 vs. NQCI, DJI vs. NQCI, and ShangZheng vs. ShenCheng when the market is falling than rising, respectively. By comparing the spectra of S&P500 vs. NQCI and DJI vs. NQCI with uptrends and downtrends, we detect some new characteristics which lead to some new conclusions. Likewise, some new conclusions also can be drawn by the new characteristics displayed through the comparison between the spectra of ShangZheng vs. HSI and ShenCheng vs. HSI. Obviously, we conclude that although the overall spectra are similar and one market has the same effect when it is rising and falling in the study of asymmetric cross-correlations between it and different markets, the cross-correlations and asymmetries on the trends of the different markets are all different. MS-ADCCA method can detect the differences on the asymmetric cross-correlations by different trends of markets. Moreover, the uniqueness of cross-correlation between NQCI and HSI can be detected in the study of the asymmetric cross-correlations, which confirms that HSI is unique in the Chinese stock markets and NQCI is unique in the US stock markets further.