Coherent and random sequences in financial fluctuations

被引：148

作者：

Vandewalle, N ^{[1
]}

Ausloos, M

机构：

[1] Univ Liege, Inst Phys B5, SUPRAS, B-4000 Liege, Belgium

[2] ECOPHYNANCE, B-7700 Mouscron, Belgium

来源：

PHYSICA A | 1997年 / 246卷 / 3-4期

关键词：

econophysics; Brownian motion; time series;

D O I：

10.1016/S0378-4371(97)00366-X

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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.

引用

页码：454 / 459

页数：6

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