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Multi-Scaling Analysis of the S&P500 under Different Regimes in Wavelet Domain

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  • Salim Lahmiri

    (ESCA School of Management, Casablanca, Morocco & Department of Computer Science, University of Quebec at Montreal, Montreal, Québec, Canada)

Abstract

In this article, the authors investigate the multi-scale structure of the S&P500 minute-by-minute time series. The authors attempt to find the answer to the following question: Are upward and downward regimes in the S&P500 time series exhibit different long-range power-law correlations? To answer this question, the authors apply the discrete wavelet transform (DWT) to the original time series for de-noising purpose. Then, the authors apply the generalized Hurst exponent (GHE) to the de-noised data to characterize the multi-scaling complexity of the signal (time series) under each regime and using different q-order moments. The authors found that S&P500 intra-day time series show long-range power-law correlations. In addition, this behavior varies depending on the stock market regime. This finding should be taken into account in active investment management.

Suggested Citation

  • Salim Lahmiri, 2014. "Multi-Scaling Analysis of the S&P500 under Different Regimes in Wavelet Domain," International Journal of Strategic Decision Sciences (IJSDS), IGI Global, vol. 5(2), pages 43-55, April.
    • Handle: RePEc:igg:jsds00:v:5:y:2014:i:2:p:43-55
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    Cited by:

    1. Lahmiri, Salim, 2015. "Long memory in international financial markets trends and short movements during 2008 financial crisis based on variational mode decomposition and detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 437(C), pages 130-138.
    2. Lahmiri, Salim, 2017. "Multifractal analysis of Moroccan family business stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 183-191.
    3. Lahmiri, Salim, 2016. "Clustering of Casablanca stock market based on hurst exponent estimates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 310-318.

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