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Coherent and random sequences in financial fluctuations

N. Vandewalle and Marcel Ausloos ()

Physica A: Statistical Mechanics and its Applications, 1997, vol. 246, issue 3, 454-459

Abstract: 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.

Keywords: Econophysics; Brownian motion; Time series (search for similar items in EconPapers)
Date: 1997
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Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

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