[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.
Disciplines :
Physics
Author, co-author :
Vandewalle, Nicolas ; Université de Liège - ULiège > Département de physique > Physique statistique
Ausloos, Marcel ; Université de Liège - ULiège > Département de physique > Physique statistique appliquée et des matériaux - S.U.P.R.A.S.
Language :
English
Title :
Coherent and random sequences in financial fluctuations
Publication date :
01 December 1997
Journal title :
Physica A. Statistical Mechanics and its Applications
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