Absence of 1/f Spectra in Dow Jones Daily Price
نویسنده
چکیده
The power spectra for the daily Dow Jones average, both the original series and the de-trended series, are calculated. The spectra are of the form 1/ fCi with a close to 2 instead of 1. Also studied is the distribution of daily price changes which is in-between an exponential and a power law function. With certain criterion, this result suggests that stock market activities may not be qualified as "critical".
منابع مشابه
Absence of 1/f Spectra in Dow Jones Daily Average
The power spectrum of the daily Dow Jones industrial average is calculated. It has been shown that the spectrum is P (f) 1=f, very close to that of the random walk series (1=f noise). In contrast to some previous belief, the Dow Jones index as well as other stock prices time series are not 1=f noise. The distribution of the daily change of the Dow Jones industrial average is also calculated. Se...
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