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Martingales, detrending data, and the efficient market hypothesis

McCauley, Joseph L.; Bassler, Kevin E.; Gunaratne, Gemunu H. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 1, pp. 202-216

We discuss martingales, detrending data, and the efficient market hypothesis (EMH) for stochastic processes x(t) with …

Persistent link: https://www.econbiz.de/10010874048

Detecting long-range correlations with detrended fluctuation analysis

Kantelhardt, Jan W; Koscielny-Bunde, Eva; Rego, Henio H.A; … - In: Physica A: Statistical Mechanics and its Applications 295 (2001) 3, pp. 441-454

We examine the detrended fluctuation analysis (DFA), which is a well-established method for the detection of long-range correlations in time series. We show that deviations from scaling which appear at small time scales become stronger in higher orders of DFA, and suggest a modified DFA method...

Persistent link: https://www.econbiz.de/10010871931

Periodic trend and fluctuations: The case of strong correlation

Akin, Osman C.; Paradisi, Paolo; Grigolini, Paolo - In: Physica A: Statistical Mechanics and its Applications 371 (2006) 2, pp. 157-170

sequence with memory. The memory effects are stronger the slower the perturbation. The adoption of a de-trending technique …

Persistent link: https://www.econbiz.de/10010872811

Schmidt, Anatoly B. - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 9, pp. 1887-1892

equities have no practical effect on the FX RV signatures. We show that local detrending of the high-frequency FX rate samples …

Persistent link: https://www.econbiz.de/10010590148

Sun, Jingliang; Sheng, Huanye - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 17, pp. 2995-3001

Determining trend and implementing detrending operations are important steps in data analysis. Yet there is neither … precise definition of “trend” nor any logical algorithm for extracting it. In this paper, we propose a Hybrid Detrending … detrending methods, our method is a posteriori, the trend defined by our method is only derived from the data. Further, our …

Persistent link: https://www.econbiz.de/10011057687