{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2022,6,1]],"date-time":"2022-06-01T23:41:51Z","timestamp":1654126911697},"reference-count":42,"publisher":"IGI Global","issue":"2","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2014,4,1]]},"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.<\/p>","DOI":"10.4018\/ijsds.2014040104","type":"journal-article","created":{"date-parts":[[2014,9,10]],"date-time":"2014-09-10T13:39:39Z","timestamp":1410356379000},"page":"43-55","source":"Crossref","is-referenced-by-count":8,"title":["Multi-Scaling Analysis of the S&P500 under Different Regimes in Wavelet Domain"],"prefix":"10.4018","volume":"5","author":[{"given":"Salim","family":"Lahmiri","sequence":"first","affiliation":[{"name":"ESCA School of Management, Casablanca, Morocco & Department of Computer Science, University of Quebec at Montreal, Montreal, Qu\u00e9bec, Canada"}]}],"member":"2432","reference":[{"key":"ijsds.2014040104-0","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2011.12.045"},{"key":"ijsds.2014040104-1","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2008.06.056"},{"key":"ijsds.2014040104-2","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2012.03.030"},{"key":"ijsds.2014040104-3","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2012.05.005"},{"key":"ijsds.2014040104-4","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511599798"},{"key":"ijsds.2014040104-5","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2011.06.017"},{"key":"ijsds.2014040104-6","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2012.05.035"},{"key":"ijsds.2014040104-7","doi-asserted-by":"publisher","DOI":"10.1137\/1.9781611970104"},{"key":"ijsds.2014040104-8","doi-asserted-by":"publisher","DOI":"10.1504\/IJADS.2009.031180"},{"key":"ijsds.2014040104-9","doi-asserted-by":"publisher","DOI":"10.1080\/14697680600969727"},{"key":"ijsds.2014040104-10","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2004.08.004"},{"key":"ijsds.2014040104-11","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2010.04.015"},{"key":"ijsds.2014040104-12","doi-asserted-by":"crossref","unstructured":"Du, G., & Ning, X. (2008). Multifractal properties of Chinese stock market in Shanghai. Physica A: Statistical Mechanics and its Applications, 387(1), 261-269.","DOI":"10.1016\/j.physa.2007.08.024"},{"key":"ijsds.2014040104-13","doi-asserted-by":"publisher","DOI":"10.1504\/IJADS.2012.046507"},{"key":"ijsds.2014040104-14","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2010.05.021"},{"key":"ijsds.2014040104-15","doi-asserted-by":"publisher","DOI":"10.1016\/j.asoc.2011.05.015"},{"key":"ijsds.2014040104-16","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2010.02.040"},{"key":"ijsds.2014040104-17","doi-asserted-by":"publisher","DOI":"10.4018\/jsds.2010040105"},{"key":"ijsds.2014040104-18","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4371(02)01383-3"},{"key":"ijsds.2014040104-19","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2011.06.046"},{"key":"ijsds.2014040104-20","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2004.11.019"},{"key":"ijsds.2014040104-21","doi-asserted-by":"publisher","DOI":"10.4018\/jsds.2013010105"},{"key":"ijsds.2014040104-22","doi-asserted-by":"publisher","DOI":"10.4018\/jsds.2012010101"},{"key":"ijsds.2014040104-23","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2011.05.017"},{"key":"ijsds.2014040104-24","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2013.10.021"},{"key":"ijsds.2014040104-25","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2012.11.037"},{"key":"ijsds.2014040104-26","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2013.06.061"},{"key":"ijsds.2014040104-27","doi-asserted-by":"publisher","DOI":"10.1109\/34.192463"},{"key":"ijsds.2014040104-28","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2009.12.011"},{"key":"ijsds.2014040104-29","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2005.11.019"},{"key":"ijsds.2014040104-30","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2010.11.011"},{"key":"ijsds.2014040104-31","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2012.11.038"},{"key":"ijsds.2014040104-32","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2010.01.040"},{"key":"ijsds.2014040104-33","doi-asserted-by":"publisher","DOI":"10.1504\/IJADS.2012.050023"},{"key":"ijsds.2014040104-34","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2013.09.038"},{"key":"ijsds.2014040104-35","doi-asserted-by":"publisher","DOI":"10.4018\/jsds.2010103004"},{"key":"ijsds.2014040104-36","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2012.11.031"},{"key":"ijsds.2014040104-37","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2009.12.039"},{"key":"ijsds.2014040104-38","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2010.08.053"},{"key":"ijsds.2014040104-39","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2010.11.002"},{"key":"ijsds.2014040104-40","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2010.11.017"},{"key":"ijsds.2014040104-41","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2012.01.034"}],"container-title":["International Journal of Strategic Decision Sciences"],"original-title":[],"language":"ng","link":[{"URL":"https:\/\/www.igi-global.com\/viewtitle.aspx?TitleId=114628","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2022,6,1]],"date-time":"2022-06-01T23:07:08Z","timestamp":1654124828000},"score":1,"resource":{"primary":{"URL":"https:\/\/services.igi-global.com\/resolvedoi\/resolve.aspx?doi=10.4018\/ijsds.2014040104"}},"subtitle":[""],"short-title":[],"issued":{"date-parts":[[2014,4,1]]},"references-count":42,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2014,4]]}},"URL":"https:\/\/doi.org\/10.4018\/ijsds.2014040104","relation":{},"ISSN":["1947-8569","1947-8577"],"issn-type":[{"value":"1947-8569","type":"print"},{"value":"1947-8577","type":"electronic"}],"subject":[],"published":{"date-parts":[[2014,4,1]]}}}