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A multi-scale symmetry analysis of uninterrupted trends returns in daily financial indices

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  • Rodríguez-Martínez, C.M.
  • Coronel-Brizio, H.F.
  • Hernández-Montoya, A.R.

Abstract

We present a symmetry analysis of the distribution of variations of different financial indices, by means of a statistical procedure developed by the authors based on a symmetry statistic by Einmahl and Mckeague. We applied this statistical methodology to the here introduced financial uninterrupted daily trends returns and to other novel multi-scale observable defined as trend returns divided by their durations. In our opinion, to study distributional symmetry, trends returns offer more advantages than the commonly used daily financial returns; the two most important being: (1) Trends returns involve sampling over different time scales and (2) By construction, this variable time series contains practically the same number of non-negative and negative entry values.

Suggested Citation

  • Rodríguez-Martínez, C.M. & Coronel-Brizio, H.F. & Hernández-Montoya, A.R., 2021. "A multi-scale symmetry analysis of uninterrupted trends returns in daily financial indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
    • Handle: RePEc:eee:phsmap:v:574:y:2021:i:c:s0378437121002545
    DOI: 10.1016/j.physa.2021.125982
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