Gvozdanovic, Igor; Podobnik, Boris; Wang, Duan; Eugene … - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 9, pp. 2860-2866
Employing detrended fluctuation analysis (DFA) and detrended cross-correlations analysis (DCCA), we analyze auto-correlations in the absolute returns for each of 30 Dow Jones Industrial Average (DJIA) constituents, Si, and cross-correlations in the absolute returns between the DJIA and each Si....