Analysis of short term price trends in daily stock-market index data
AbstractIn financial time series there are periods in which the value increases or decreases monotonically. We call those periods elemental trends and study the probability distribution of their duration for the indices DJIA, NASDAQ and IPC. It is found that the trend duration distribution often differs from the one expected under no memory. The expected and observed distributions are compared by means of the Anderson-Darling test.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1211.3060.
Date of creation: Nov 2012
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-11-24 (All new papers)
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