Rivera-Castro, Miguel A.; Miranda, José G.V.; … - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 1, pp. 170-179
occurrence of trend switching in financial series. A-DFA introduces two new roughness exponents, H+ and H−, which differ from the …(t),H+(t), and H−(t) allow to identify and characterize SP’s. Tests with Weiertrasse functions, isolated peaks, and actual financial … series are presented, supporting the validity of the proposed method. …