Spurious Seasonality Detection: A Non-Parametric Test Proposal

This paper offers a general and comprehensive definition of the day-of-the-week effect. Using symbolic dynamics, we develop a unique test based on ordinal patterns in order to detect it. This test uncovers the fact that the so-called “day-of-the-week” effect is partly an artifact of the hidden corre...

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Autores principales: Fernández Bariviera, Aurelio, Plastino, Ángel Luis, Judge, George
Formato: Articulo
Lenguaje:Inglés
Publicado: 2018
Materias:
Física
Daily seasonality
Ordinal patterns
Stock market
Symbolic analysis
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/125368
https://www.mdpi.com/2225-1146/6/1/3
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-125368
record_format dspace
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Física
Daily seasonality
Ordinal patterns
Stock market
Symbolic analysis
spellingShingle Física
Daily seasonality
Ordinal patterns
Stock market
Symbolic analysis
Fernández Bariviera, Aurelio
Plastino, Ángel Luis
Judge, George
Spurious Seasonality Detection: A Non-Parametric Test Proposal
topic_facet Física
Daily seasonality
Ordinal patterns
Stock market
Symbolic analysis
description This paper offers a general and comprehensive definition of the day-of-the-week effect. Using symbolic dynamics, we develop a unique test based on ordinal patterns in order to detect it. This test uncovers the fact that the so-called “day-of-the-week” effect is partly an artifact of the hidden correlation structure of the data. We present simulations based on artificial time series as well. While time series generated with long memory are prone to exhibit daily seasonality, pure white noise signals exhibit no pattern preference. Since ours is a non-parametric test, it requires no assumptions about the distribution of returns, so that it could be a practical alternative to conventional econometric tests. We also made an exhaustive application of the here-proposed technique to 83 stock indexes around the world. Finally, the paper highlights the relevance of symbolic analysis in economic time series studies.
format Articulo
Articulo
author Fernández Bariviera, Aurelio
Plastino, Ángel Luis
Judge, George
author_facet Fernández Bariviera, Aurelio
Plastino, Ángel Luis
Judge, George
author_sort Fernández Bariviera, Aurelio
title Spurious Seasonality Detection: A Non-Parametric Test Proposal
title_short Spurious Seasonality Detection: A Non-Parametric Test Proposal
title_full Spurious Seasonality Detection: A Non-Parametric Test Proposal
title_fullStr Spurious Seasonality Detection: A Non-Parametric Test Proposal
title_full_unstemmed Spurious Seasonality Detection: A Non-Parametric Test Proposal
title_sort spurious seasonality detection: a non-parametric test proposal
publishDate 2018
url http://sedici.unlp.edu.ar/handle/10915/125368
https://www.mdpi.com/2225-1146/6/1/3
work_keys_str_mv AT fernandezbarivieraaurelio spuriousseasonalitydetectionanonparametrictestproposal
AT plastinoangelluis spuriousseasonalitydetectionanonparametrictestproposal
AT judgegeorge spuriousseasonalitydetectionanonparametrictestproposal
bdutipo_str Repositorios
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