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Coherent and random sequences in financial fluctuations

Author

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  • Vandewalle, N.
  • Ausloos, M.

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.

Suggested Citation

  • Vandewalle, N. & Ausloos, M., 1997. "Coherent and random sequences in financial fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 246(3), pages 454-459.
    • Handle: RePEc:eee:phsmap:v:246:y:1997:i:3:p:454-459
    DOI: 10.1016/S0378-4371(97)00366-X
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    1. Stanley, H.E. & Buldyrev, S.V. & Goldberger, A.L. & Goldberger, Z.D. & Havlin, S. & Mantegna, R.N. & Ossadnik, S.M. & Peng, C.-K. & Simons, M., 1994. "Statistical mechanics in biology: how ubiquitous are long-range correlations?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 205(1), pages 214-253.
    2. Steven N. Durlauf, 1996. "Statistical Mechanics Approaches to Socioeconomic Behavior," NBER Technical Working Papers 0203, National Bureau of Economic Research, Inc.
    3. James Verdier & Rebecca Dodge & Lisa Chimento & Joel Menges & Moira Forbes, "undated". "Using Data Strategically in Medicaid Managed Care," Mathematica Policy Research Reports a9627d6381e448088b25fe89d, Mathematica Policy Research.
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