Monthly Archives: April 2008

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Analysis of the US Stock Market (Int J Bifurcation & Chaos, 2008)

Based on the detrended fluctuation analysis of the Dow Jones Industrial Average (DJIA) index, we demonstrate that the U.S. stock market operates close to the state predicted by the efficient market hypothesis. The observed transient deviations from this state are shown to have a statistical origin as they also appear in purely random geometric Brownian motion models of the DJIA dynamics. Serletis А., Uritskaya O.Y., & Uritsky V.М. Detrended Fluctuation […]

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Multiscale inefficiency (Energy Economics, 2008)

One of the basic features of efficient markets is the absence of correlations between price increments leading to random walk-type behavior of prices. In this paper, we propose a new approach for measuring deviations from the efficient market state based on an analysis of scale-dependent fractal exponent characterizing correlations at different time scales. The approach is applied to two electricity markets, Alberta and Mid Columbia (Mid-C), as well as to […]

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