Coherent and random sequences in financial fluctuations

Vandewalle, Nicolas; Ausloos, Marcel

doi:10.1016/S0378-4371(97)00366-X

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Article (Scientific journals)

Coherent and random sequences in financial fluctuations

Vandewalle, Nicolas; Ausloos, Marcel

1997 • In Physica A. Statistical Mechanics and its Applications, 246 (3-4), p. 454-459

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https://hdl.handle.net/2268/17992

DOI
10.1016/S0378-4371(97)00366-X

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Abstract :

[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

ISSN :

0378-4371

eISSN :

1873-2119

Publisher :

Elsevier, Netherlands

Volume :

246

Issue :

3-4

Pages :

454-459

Peer reviewed :

Peer Reviewed verified by ORBi

Available on ORBi :

since 07 August 2009

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