NDLI: Intrinsic Multi-Scale Dynamic Behaviors of Complex Financial Systems

Content Provider	PubMed Central
Author	Ouyang, Fang-yan Zheng, Bo Jiang, Xiong-fei
Editor	Podobnik, Boris
Copyright Year	2015
Abstract	The empirical mode decomposition is applied to analyze the intrinsic multi-scale dynamic behaviors of complex financial systems. In this approach, the time series of the price returns of each stock is decomposed into a small number of intrinsic mode functions, which represent the price motion from high frequency to low frequency. These intrinsic mode functions are then grouped into three modes, i.e., the fast mode, medium mode and slow mode. The probability distribution of returns and auto-correlation of volatilities for the fast and medium modes exhibit similar behaviors as those of the full time series, i.e., these characteristics are rather robust in multi time scale. However, the cross-correlation between individual stocks and the return-volatility correlation are time scale dependent. The structure of business sectors is mainly governed by the fast mode when returns are sampled at a couple of days, while by the medium mode when returns are sampled at dozens of days. More importantly, the leverage and anti-leverage effects are dominated by the medium mode.
Related Links	http://dx.doi.org/10.1371/journal.pone.0139420
Starting Page	139420
File Format	PDF
ISSN	19326203
e-ISSN	19326203
Journal	PLoS ONE
Issue Number	10
Volume Number	10
Language	English
Publisher	Public Library of Science
Publisher Date	2015-10-01
Access Restriction	Open
Rights Holder	Public Library of Science
Subject Keyword	Biochemistry, Genetics and Molecular Biology(all) Agricultural and Biological Sciences(all) Medicine(all) Research in Higher Education
Content Type	Text
Resource Type	Article
Subject	Multidisciplinary

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