dorsal/arxiv
View SchemaAccounting for outliers and calendar effects in surrogate simulations of stock return sequences
| Authors | Alexandros Leontitsis, Constantinos E. Vorlow |
|---|---|
| Categories | |
| ArXiv ID | physics/0504187 |
| URL | https://arxiv.org/abs/physics/0504187 |
| DOI | 10.1016/j.physa.2005.12.037 |
Abstract
Surrogate Data Analysis (SDA) is a statistical hypothesis testing framework for the determination of weak chaos in time series dynamics. Existing SDA procedures do not account properly for the rich structures observed in stock return sequences, attributed to the presence of heteroscedasticity, seasonal effects and outliers. In this paper we suggest a modification of the SDA framework, based on the robust estimation of location and scale parameters of mean-stationary time series and a probabilistic framework which deals with outliers. A demonstration on the NASDAQ Composite index daily returns shows that the proposed approach produces surrogates that faithfully reproduce the structure of the original series while being manifestations of linear-random dynamics.
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"abstract": "Surrogate Data Analysis (SDA) is a statistical hypothesis testing framework\nfor the determination of weak chaos in time series dynamics. Existing SDA\nprocedures do not account properly for the rich structures observed in stock\nreturn sequences, attributed to the presence of heteroscedasticity, seasonal\neffects and outliers. In this paper we suggest a modification of the SDA\nframework, based on the robust estimation of location and scale parameters of\nmean-stationary time series and a probabilistic framework which deals with\noutliers. A demonstration on the NASDAQ Composite index daily returns shows\nthat the proposed approach produces surrogates that faithfully reproduce the\nstructure of the original series while being manifestations of linear-random\ndynamics.",
"arxiv_id": "physics/0504187",
"authors": [
"Alexandros Leontitsis",
"Constantinos E. Vorlow"
],
"categories": [
"physics.soc-ph",
"q-fin.ST"
],
"doi": "10.1016/j.physa.2005.12.037",
"title": "Accounting for outliers and calendar effects in surrogate simulations of stock return sequences",
"url": "https://arxiv.org/abs/physics/0504187"
},
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