Reference : Coherent and random sequences in financial fluctuations
Scientific journals : Article
Physical, chemical, mathematical & earth Sciences : Physics
http://hdl.handle.net/2268/17992
Coherent and random sequences in financial fluctuations
English
Vandewalle, Nicolas mailto [Université de Liège - ULg > Département de physique > Physique statistique >]
Ausloos, Marcel mailto [Université de Liège - ULg > Département de physique > Physique statistique appliquée et des matériaux - S.U.P.R.A.S. >]
1-Dec-1997
Physica A: Statistical Mechanics and its Applications
246
3-4
454-459
Yes (verified by ORBi)
0378-4371
[en] 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 surprisingly similar to those for DNA sequences which appeared as a mosaic of coding and non-coding patches.
Researchers ; Professionals ; Students
http://hdl.handle.net/2268/17992

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