Coherent and random sequences in financial fluctuations

Vandewalle, Nicolas; Ausloos, Marcel

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

No full text

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

Peer Reviewed verified by ORBi

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

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

Files (0)Send to Details Statistics Bibliography Similar publications

Files

Full Text

No document available.

Send to

RIS BibTex APA Chicago Permalink X Linkedin

Details

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

Statistics

Number of views

73 (2 by ULiège)

Number of downloads

0 (0 by ULiège)

More statistics

Scopus citations^®

157

Scopus citations^®
without self-citations

119

OpenCitations

135

OpenAlex citations

166

Bibliography

B.B. Mandelbrot, J. Business 36 (1963) 349.
R.N. Mantegna, Physica A 179 (1991) 232.
R.N. Mantegna, H.E. Stanley, Nature 376 (1995) 46.
A. Arneodo, J.-P. Bouchaud, R. Cont, J.-F. Muzy, M. Potters, D. Sornette, Nature, to be published.
S. Ghashghaie, W. Breymann, J. Peinke, P. Talkner, Y. Dodge, Nature 381 (1996) 767.
P. Bak, K. Chen, M. Creutz, Nature 342 (1989) 780.
V. Pareto, Cours d'Economie Politique (Lausanne, 1897); see also E.W. Montroll, W.W. Badger, Introduction to Quantitative Aspects of Societal Phenomena, Gordon and Breach, New York, 1974.
V. Pareto, Cours d'Economie Politique (Lausanne, 1897); see also E.W. Montroll, W.W. Badger, Introduction to Quantitative Aspects of Societal Phenomena, Gordon and Breach, New York, 1974.
M. Levy, S. Solomon, Int. J. Mod. Phys. C 7 (1996) 595; S. Solomon, M. Levy, Int. J. Mod. Phys. C 7 (1996) 745.
M. Levy, S. Solomon, Int. J. Mod. Phys. C 7 (1996) 595; S. Solomon, M. Levy, Int. J. Mod. Phys. C 7 (1996) 745.
P. Bak, M. Paczuski, M. Shubik, Physica A 246 (1997) 430.
S.N. Durlauf, Statistical Mechanics Approaches to Socioeconomic Behavior, preprint, 1996.
J.B. Ramsey, Z. Zhang, in: Predictability of Complex Dynamical Systems, Springer, Berlin, 1996, p. 189.
D. Sornette, A. Johansen, J.-P. Bouchaud, J. Phys, I (France) 6 (1996) 167.
T. Bollerslev, R.Y. Chou, N. Jayaraman, K.F. Kroner, J. Econometrics 52 (1990) 5.
E.E. Peters, Fractal Market Analysis, Wiley, New York, 1994.
C.-K. Peng, S.V. Buldyrev, S. Havlin, M. Simons, H.E. Stanley, A.L. Goldberger, Phys. Rev. E 49 (1994) 1685.
H.E. Stanley, S.V. Buldyrev, A.L. Goldberger, S. Havlin, C.-K. Peng, M, Simons, Physica A 200 (1996) 4.
B.B. Mandelbrot, The Fractal Geometry of Nature, W.H. Freeman, New York, 1982.
J. Feder, Fractals, Plenum, New York, 1988.
B.J. West, B. Deering, The Lure of Modern Science, World Scientific, Singapore, 1995.
S.D. Howison, F.P. Kelly, P. Wilmott, in: Mathematical Models in Finance, The Royal Society, London, 1994, pp. 449-598.
J. Pirard, P. Praet, private communication.