The Modified High Order DFA Test of Long-range Correlations in Stock Market
HE Jian-min · Beijing Hangkong Hangtian Daxue xuebao · 2010
The DFA method is an efficient method to test the long-range correlations in non-stationary time series,which will induce bias in small scale when the series have high order trend.From the basic standpoint of long-range correlation,a modified DFA method is used to solve the drawback.Based on the real data of Chinese stock markets,the new method removes the bias and exactly tesitfies the long-range correlations behaviour in our stock markets.