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Abstract
A method to sort out temporal correlations in financial data within the Detrended Fluctuation Analysis (DFA) statistical method is used. Both linear and cubic detrendings are considered. Our findings are surprisingly similar to those for DNA sequences which appeared as a mosaic of coding and non-coding patches.
Index
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References
Bibliographical reference
Nicolas Vandewalle and Marcel Ausloos, « Extended Detrended Fluctuation Analysis for financial data », CASYS, 1 | 1998, 342-349.
Electronic reference
Nicolas Vandewalle and Marcel Ausloos, « Extended Detrended Fluctuation Analysis for financial data », CASYS [Online], 1 | 1998, Online since 05 July 2024, connection on 26 December 2024. URL : http://popups.uliege.be/3041-539x/index.php?id=1193
Authors
Nicolas Vandewalle
ECOPHYNANCE, 327 Av. Nouveau-Monde, B-7700 Mouscron, Belgium
Marcel Ausloos
SUPRAS, Insitut de Phyisque B5, Sart Tilman, Université de Liège, B-4000 Liège, Belgium