Papers by Wolfgang Schadner
Chaos, Solitons and Fractals, 2022
This paper studies the long-range dependence and multifractal content of U.S. political time-seri... more This paper studies the long-range dependence and multifractal content of U.S. political time-series to gather a deeper understanding of sociophysic phenomena. Specifically, multifractal detrended fluctuation analysis (MF-DFA) is applied upon data in the context of (i) president approval (polls), (ii) president online attention (Google Trends) and (iii) election-win probabilities (prediction markets). All analyzed series are characterized by anti-persistence, which may be interpreted as a nervous and overreacting behavior. We further detect significant multifractality with true non-linear correlation remaining after correcting for spurious sources. Importance from understanding the multifractal behavior arises from the fact that all three data types are used in practice for the prediction of election outcomes. We further argue that variation in local persistence (as implied by multifractality) can be both beneficial and destructive in different real-world scenarios. We draw parallels to simple examples like the timing of political campaigns or trading on prediction markets. On the methodological side, the article implements recent improvements of MF-DFA such as focus-based regression and overlapping segments.
Physica A, 2021
This paper applies multifractal detrended fluctuation analysis to study the multifractal property... more This paper applies multifractal detrended fluctuation analysis to study the multifractal property and temporal persistence of U.S. and European stock market sentiment, providing deeper insights into investor behavior. The findings indicate that the average sentiment is anti-persistent, understood as a general tendency for investors to overreact. The multifractal spectrum has a significant width in both markets, which comes with a substantial variation in local sentiment persistence. Analyses show that the current sentiment persistence is positively related to the level of market mood. Hence, investor fear is related to overreacting, while optimism is more closely to a random walk. This result is of potential interest for investment strategies, but is also likely to affect the stability of a financial market. Conclusions are drawn from financial option and survey data.
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Papers by Wolfgang Schadner