Coherent and random sequences in financial fluctuations

The detrended fluctuation analysis (DFA) is used to sort out temporal correlations in financial data. Its usefulness for the investigations of long-range power-law correlations in economic sequences is shown. Our findings of persistent and antipersistent sequences are suprisingly similar to those for DNA sequences which appeared as a mosaic of coding and non-coding patches.

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Year of publication:	1997
Authors:	Vandewalle, N. ; Ausloos, M.
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 246.1997, 3, p. 454-459
Publisher:	Elsevier
Subject:	Econophysics \| Brownian motion \| Time series

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010586737