Effects of Exponential Trends on Correlations of Stock Markets | Zendy

Aijing Lin | Zendy; Pengjian Shang | Zendy; Huachun Zhou | Zendy

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Effects of Exponential Trends on Correlations of Stock Markets

Author(s) -

Aijing Lin,

Pengjian Shang,

Huachun Zhou

Publication year - 2014

Publication title -

mathematical problems in engineering

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.262

H-Index - 62

eISSN - 1026-7077

pISSN - 1024-123X

DOI - 10.1155/2014/340845

Subject(s) - detrended fluctuation analysis , exponential function , mathematics , range (aeronautics) , statistics , scaling , econometrics , statistical physics , power law , exponent , correlation , mathematical analysis , physics , materials science , philosophy , composite material , linguistics , geometry

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.

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