AR(p)-based detrended fluctuation analysis

【Author】 Alvarez-Ramirez, J.; Rodriguez, E.

【Source】PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

【影响因子】3.778

【Abstract】Autoregressive models are commonly used for modeling time-series from nature, economics and finance. This work explored simple autoregressive AR(p) models to remove long-term trends in detrended fluctuation analysis (DFA). Crude oil prices and bitcoin exchange rate were considered, with the former corresponding to a mature market and the latter to an emergent market. Results showed that AR(p)-based DFA performs similar to traditional DFA. However, the former DFA provides information on stability of long-term trends, which is valuable for understanding and quantifying the dynamics of complex time series from financial systems. (C) 2018 Elsevier B.V. All rights reserved.

【Keywords】Detrended fluctuation analysis; Detrending method; Autoregressive model; Crude oil market; Bitcoin

【发表时间】2018 JUL 15

【收录时间】2022-01-02

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