Rivera-Castro, Miguel A.; Miranda, José G.V.; … - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 1, pp. 170-179
This work uses the concept of Asymmetric Detrended Fluctuation Analysis (A-DFA) to investigate and characterize the occurrence of trend switching in financial series. A-DFA introduces two new roughness exponents, H+ and H−, which differ from the usual one H by separately taking into account...