Počet záznamů: 1
On spurious anti-persistence in the US stock indices
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SYSNO ASEP 0349571 Druh ASEP J - Článek v odborném periodiku Zařazení RIV Záznam nebyl označen do RIV Poddruh J Článek ve WOS Název On spurious anti-persistence in the US stock indices Tvůrce(i) Krištoufek, Ladislav (UTIA-B) RID, ORCID Celkový počet autorů 1 Zdroj.dok. Chaos Solitons & Fractals. - : Elsevier - ISSN 0960-0779
Roč. 43, č. 1 (2010), s. 68-78Poč.str. 11 s. Jazyk dok. eng - angličtina Země vyd. GB - Velká Británie Klíč. slova econophysics ; long-range dependence Vědní obor RIV AH - Ekonomie CEP GD402/09/H045 GA ČR - Grantová agentura ČR GA402/09/0965 GA ČR - Grantová agentura ČR CEZ AV0Z10750506 - UTIA-B (2005-2011) UT WOS 000285445800009 DOI 10.1016/j.chaos.2010.09.001 Anotace We reexamine the results of Serletis and Rosenberg [Serletis A, Rosenberg A. Mean rever- sion in the US stock market. Chaos, Solitons and Fractals 2009;40:2007–2015.] who claim that the returns of the most important US stock indices (DJI, NASDAQ, NYSE and S&P500) are strongly anti-persistent and thus mean reverting. We apply various methods to detect long-range dependence – detrending moving average, detrended fluctuation analysis, gen- eralized Hurst exponent approach, classical rescaled range analysis and modified rescaled range analysis. We show that there are no signs of anti-persistence in any of the indices. Moreover, we discuss that the authors did not find any anti-persistence but rather showed returns of the said assets do not follow the scaling power law around their moving average with varying window length. Anti-persistence is thus spurious and due to wrong applica- tion of detrending moving average method. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2011
Počet záznamů: 1