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AR(p)-based detrended fluctuation analysis

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  • Alvarez-Ramirez, J.
  • Rodriguez, E.

Abstract

Autoregressive models are commonly used for modeling time-series from nature, economics and finance. This work explored simple autoregressive AR(p) models to remove long-term trends in detrended fluctuation analysis (DFA). Crude oil prices and bitcoin exchange rate were considered, with the former corresponding to a mature market and the latter to an emergent market. Results showed that AR(p)-based DFA performs similar to traditional DFA. However, the former DFA provides information on stability of long-term trends, which is valuable for understanding and quantifying the dynamics of complex time series from financial systems.

Suggested Citation

  • Alvarez-Ramirez, J. & Rodriguez, E., 2018. "AR(p)-based detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 49-57.
    • Handle: RePEc:eee:phsmap:v:502:y:2018:i:c:p:49-57
    DOI: 10.1016/j.physa.2018.02.203
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    1. Eom, Cheoljun & Kaizoji, Taisei & Kang, Sang Hoon & Pichl, Lukas, 2019. "Bitcoin and investor sentiment: Statistical characteristics and predictability," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 511-521.

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