Share Email Print
cover

Proceedings Paper

Scaling properties of long-range correlated noisy signals: appplication to financial markets
Author(s): Anna Carbone; Giuliano Castelli
Format Member Price Non-Member Price
PDF $14.40 $18.00
cover GOOD NEWS! Your organization subscribes to the SPIE Digital Library. You may be able to download this paper for free. Check Access

Paper Abstract

Long-range correlation properties of financial stochastic time series y have been investigated with the main aim to demonstrate the ability of a recently proposed method to extract the scaling parameters of a stochastic series. According to this technique, the Hurst coefficient H is calculated by means of the following function: EQUATION where yn(i)is the moving average of y(i), defined as EQUATION the moving average window and Nmax is the dimension of the stochastic series. The method is called Detrending Moving Average Analysis (DMA) on account of the several analogies with the well-known Detrended Fluctuation Analysis (DFA). The DMA technique has been widely tested on stochastic series with assigned H generated by suitable algorithms. It has been demonstrated that the ability of the proposed technique relies on very general grounds: the function EQUATION generates indeed a sequence of clusters with power-law distribution of amplitudes and lifetimes. In particular the exponent of the distribution of cluster lifetime varies as the fractal dimension 2 - H of the series, as expected on the basis of the box-counting method. In the present paper we will report on the scaling coefficients of real data series (the BOBL and DAX German future) calculated by the DMA technique.

Paper Details

Date Published: 7 May 2003
PDF: 9 pages
Proc. SPIE 5114, Noise in Complex Systems and Stochastic Dynamics, (7 May 2003); doi: 10.1117/12.497039
Show Author Affiliations
Anna Carbone, Politecnico di Torino (Italy)
National Institute of Matter Physics (INFM) (Italy)
Giuliano Castelli, INFM (Italy)
Politecnico di Torino (Italy)


Published in SPIE Proceedings Vol. 5114:
Noise in Complex Systems and Stochastic Dynamics
Lutz Schimansky-Geier; Derek Abbott; Alexander Neiman; Christian Van den Broeck, Editor(s)

© SPIE. Terms of Use
Back to Top