The high order dispersion analysis based on first-passage-time probability in financial markets

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• 作者：Chenggong Liu¹ ; ^{15121604@bjtu.edu.cn} ; Pengjian Shang ; ^{pjshang@bjtu.edu.cn} ; Guochen Feng
• 关键词：First-passage-time (FPT) probability ; High order dispersion (HOD) ; Multifractal detrended fluctuation analysis (MF-DFA) ; Financial time series
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：1 April 2017
• 年：2017
• 卷：471
• 期：Complete
• 页码：1-9
• 全文大小：1212 K
• 卷排序：471

文摘

The FPT probability of transaction to transaction data and its HOD are analyzed. HOD method is capable of fractionizing stock markets both in different regions and the same region. We test multifractal properties of financial time series based on HOD method successfully. We verify the validity and advantage of HOD method through comparing it with MF-DFA.