Dfa Analysis of Financial Data Abstract Dfa Analysis of Financial Data
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DFA ANALYSIS OF FINANCIAL DATA Bronson Argyle Physics Department Bachelor of Science Recent developments in the field of biophysics, both in findings and methods, have consequences that extend not only into physics in general, but may have application in a rigorous mathematical analysis of financial markets. Specifically, we apply the interpretative power of the Detrended Fluctuation Analysis to an Exchange Traded index Fund (ETF) mirroring the S&P 500. Not only do we verify the observation of positive long-range correlations, but we also characterize the effects of bin size on the DFA output. As a final application, we briefly examine the possibilities of using the results of a localized DFA to assess a measure of corporate health.
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