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
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:246:y:1997:i:3:p:454-459
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