| project |
| project_id |
118310 |
| agency |
GA UK |
| country |
CZ |
| ARLID |
cav_un_auth*0274537 |
|
| project |
| project_id |
GD402/09/H045 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253998 |
|
| project |
| project_id |
GA402/09/0965 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253176 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
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. |
| reportyear |
2011 |
| RIV |
AH |
| num_of_auth |
1 |
| permalink |
http://hdl.handle.net/11104/0189771 |
| mrcbT16-e |
MATHEMATICSINTERDISCIPLINARYAPPLICATIONS|PHYSICSMATHEMATICAL|PHYSICSMULTIDISCIPLINARY |
| mrcbT16-f |
1.729 |
| mrcbT16-g |
0.083 |
| mrcbT16-h |
4.6 |
| mrcbT16-i |
0.03941 |
| mrcbT16-j |
0.538 |
| mrcbT16-k |
9415 |
| mrcbT16-l |
12 |
| mrcbT16-q |
93 |
| mrcbT16-s |
1.062 |
| mrcbT16-y |
25.17 |
| mrcbT16-x |
1.69 |
| mrcbT16-4 |
Q2 |
| mrcbT16-B |
42.68 |
| mrcbT16-C |
60.060 |
| mrcbT16-D |
Q3 |
| mrcbT16-E |
Q2 |
| arlyear |
2010 |
| mrcbU34 |
000285445800009 WOS |
| mrcbU63 |
cav_un_epca*0252408 Chaos Solitons & Fractals 0960-0779 1873-2887 Roč. 43 č. 1 2010 68 78 Elsevier |