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Extended Detrended Fluctuation Analysis for financial data

Nicolas Vandewalle and Marcel Ausloos

p. 342-349

    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

    Keywords

    time series, fluctuations, fractal, economy, Hurst exponent

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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 09 January 2025. URL : http://popups.lib.uliege.be/1373-5411/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

    By this author

    Copyright

    CC BY-SA 4.0 Deed