Effects of Exponential Trends on Correlations of Stock Markets
Joint Authors
Shang, Peng-Jian
Lin, Ai-Jing
Zhou, Hua-Chun
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-04-06
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
Detrended fluctuation analysis (DFA) is a scaling analysis method used to estimate long-range power-law correlation exponents in time series.
In this paper, DFA is employed to discuss the long-range correlations of stock market.
The effects of exponential trends on correlations of Hang Seng Index (HSI) are investigated with emphasis.
We find that the long-range correlations and the positions of the crossovers of lower order DFA appear to have no immunity to the additive exponential trends.
Further, our analysis suggests that an increase in the DFA order increases the efficiency of eliminating on exponential trends.
In addition, the empirical study shows that the correlations and crossovers are associated with DFA order and magnitude of exponential trends.
American Psychological Association (APA)
Lin, Ai-Jing& Shang, Peng-Jian& Zhou, Hua-Chun. 2014. Effects of Exponential Trends on Correlations of Stock Markets. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-11.
https://search.emarefa.net/detail/BIM-464179
Modern Language Association (MLA)
Lin, Ai-Jing…[et al.]. Effects of Exponential Trends on Correlations of Stock Markets. Mathematical Problems in Engineering No. 2014 (2014), pp.1-11.
https://search.emarefa.net/detail/BIM-464179
American Medical Association (AMA)
Lin, Ai-Jing& Shang, Peng-Jian& Zhou, Hua-Chun. Effects of Exponential Trends on Correlations of Stock Markets. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-11.
https://search.emarefa.net/detail/BIM-464179
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-464179
