Institute of Information Theory and Automation

Publication details

On spurious anti-persistence in the US stock indices

Journal Article

Krištoufek Ladislav


serial: Chaos Solitons & Fractals vol.43, 1 (2010), p. 68-78

research: CEZ:AV0Z10750506

project(s): 118310, GA UK, GD402/09/H045, GA ČR, GA402/09/0965, GA ČR

keywords: econophysics, long-range dependence

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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.

RIV: AH

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Institute of Information Theory and Automation