0349571 20240103194122.520101118235959.9 000285445800009 10.1016/j.chaos.2010.09.001 11 s. cav_un_epca*02524080960-0779431 (2010)68-78Elsevier econophysics long-range dependence cav_un_auth*0256902 Krištoufek Ladislav Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2010/E/kristoufek-on spurious anti-persistence in the us stock indices.pdf 118310 GA UK CZ cav_un_auth*0274537 GD402/09/H045 GA ČR cav_un_auth*0253998 GA402/09/0965 GA ČR cav_un_auth*0253176 CEZ:AV0Z10750506 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. 2011 AH 1 http://hdl.handle.net/11104/0189771 MATHEMATICSINTERDISCIPLINARYAPPLICATIONS|PHYSICSMATHEMATICAL|PHYSICSMULTIDISCIPLINARY 1.729 0.083 4.6 0.03941 0.538 9415 12 93 1.062 25.17 1.69 Q2 42.68 60.060 Q3 Q2 2010 000285445800009 WOS cav_un_epca*0252408 Chaos Solitons & Fractals 0960-0779 1873-2887 Roč. 43 č. 1 2010 68 78 Elsevier