Showing 1 - 8 of 8
Price changes in financial data fluctuate irregularly or stochastically. This paper investigates whether the irregular fluctuations are random or have some kind of dynamics by applying a recently developed method, the small-shuffle surrogate method. The data used are daily gold price, daily...
Persistent link: https://www.econbiz.de/10010871598
DFA to trends [(Phys. Rev. E 64 (2001) 011114–011133)] which give rise to spurious crossovers and prevent reliable …) of the trajectory matrix to minimize the effect of linear, power-law, periodic and also quasi-periodic trends …
Persistent link: https://www.econbiz.de/10010872517
We study trends and temporal correlations in the monthly mean temperature data of Prague and Melbourne derived from … data, to evaluate the models according to their ability to reproduce the proper fluctuations and trends in the past and …
Persistent link: https://www.econbiz.de/10010591185
terms of the best-fit polynomials and the detection of trends. We show analytically and numerically that the standard … that the distribution of these terms can be used to reveal the presence of trends in the data. We also argue that this … distribution can be used as a sensitive tool for identifying weak trends. …
Persistent link: https://www.econbiz.de/10010591242
We investigate possible origins of the trends in financial markets, where trend we refer to as is a relatively long … driving force term to generate trends forcibly. We find that the trend can be generated by this simple model without any … expected forthcoming direction of price change, (ii) non-monotonic trends spontaneously emerge when dealers cannot obtain …
Persistent link: https://www.econbiz.de/10011117893
Detrended Fluctuation Analysis (DFA) is a method that has been frequently used to determine the presence of long-range correlations in human and animal behaviors. However, according to previous authors using statistical model systems, in order to correctly use DFA different aspects should be...
Persistent link: https://www.econbiz.de/10011058226
We use the Detrended Fluctuation Analysis (DFA) to quantify underlying trends in long-term correlated records. Our … approach is based on the fact that different orders of DFA are affected differently by trends. For a given instrumental record … of length N, we compare the fluctuation exponent α0 of DFA0 where trends are not being eliminated, with the fluctuation …
Persistent link: https://www.econbiz.de/10011061864
We study long-range correlations and trends in time series extracted from the data of seismic events occurred from 1973 … influenced by trends. Additionally, an analysis of the Hurst exponent as a function of the number of events in the time and the …
Persistent link: https://www.econbiz.de/10011194006