Mean reversion in the US stock market

Chaos, Solitons and Fractals

Volumn 40, Issue 4, 2009, Pages 2007-2015

  Serletis, Apostolos ^a   Rosenberg, Aryeh Adam ^a  

^a UNIVERSITY OF CALGARY   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

COMMERCE; ECONOMIC ANALYSIS; FINANCIAL DATA PROCESSING; FRACTALS; SOLITONS; STATISTICAL PHYSICS; STOCHASTIC SYSTEMS; TIME SERIES; TIME SERIES ANALYSIS;

DETRENDED FLUCTUATION ANALYSIS; DETRENDING MOVING AVERAGES; DOW JONES INDUSTRIAL AVERAGES; EFFICIENT MARKET HYPOTHESIS; FINANCIAL TIME SERIES; MODIFIED RESCALED RANGE ANALYSIS; STOCHASTIC TIME SERIES; TESTING METHODOLOGY;

FINANCIAL MARKETS;

EID: 65449165083     PISSN: 09600779     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.chaos.2007.09.085     Document Type: Article

References (26)

1. Alessio E., Carbone A., Castelli G., and Frappietro V. Second-order moving average and scaling of stochastic time series. Euro Phys J B 27 (2002) 197-200
2. Arianos S., and Carbone A. Detrending moving average algorithm: A closed-form approximation of the scaling law. Physica A 382 (2007) 9-11
3. Bachelier L. 'Théorie de la spéculation' (PhD thesis in mathematics). Annal Sci Ecole Norm Supérieure 1900;17;21-86.
4. Carbone A., Castelli G., and Stanley H.E. Time-dependent hurst exponent in financial time series. Physica A 344 (2004) 267-271
5. Carbone A., Castelli G., and Stanley H.E. Analysis of clusters formed by the moving average of a long-range correlated time series. Phys Rev E 69 (2004) 026105
6. Cootner P.H. The random character of stock market prices (1964), MIT Press, Cambridge, MA
7. Elder J., and Serletis A. On fractional integrating dynamics in the US stock market. Chaos, Solitons & Fractals 34 (2007) 777-781
8. Fama E.F. Efficient capital markets: a review of theory and empirical work. J Finance 25 (1953) 383-417
9. Fama E.F. The behavior of stock market prices. J Business 38 (1965) 34-105
10. Fama E.F. Efficient capital markets: II. J Finance 46 (1991) 1575-1617
11. Hinich M, Serletis A. Randomly modulated periodicity in the US stock market. Chaos, Solitons & Fractals, forthcoming.
12. Hurst H. Long-term storage capacity of reservoirs. Trans Am Soc Civil Eng 116 (1951) 770-799
13. Koustas Z, Lamarche J.-F, Serletis A. Threshold random walks in the US stock market. Chaos, Solitons & Fractals, forthcoming.
14. Lo A.W. Long-term memory in stock market prices. Econometrica 59 (1991) 1279-1313
15. Mandelbrot B.B. When can price be arbitraged efficiently? a limit to the validity of the random walk and martingale models. Rev Econ Stat 53 (1971) 225-236
16. Mandelbrot B.B. The variation of certain speculative prices. J Business 36 (1963) 394-419
17. Mandelbrot B.B. Statistical methodology for non-periodic cycles: from the covariance to R/S analysis. Ann Econom Soc Meas 1 (1972) 259-290
18. Mandelbrot B.B., and Taqqu M. Robust R/S analysis of long run serial correlation. Bull Int Stat Inst 48 Book 2 (1979) 59-104
19. Mantegna R.N., and Stanley H.E. An introduction to econophysics: correlations and complexity in finance (2000), Cambridge University Press, Cambridge
20. Newy W.K., and West K.D. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 53 (1987) 703-708
21. Peitgen H.-O., Jürgens H., and Dietmar S. Chaos and fractals: new frontiers of science (2004), Springer, New York
22. Peng C.-K., Buldyrev S.V., Havlin S., Simmons M., Stanley H.E., and Goldberger A.L. Mosaic organization of DNA nucleotides. Phys Rev E 49 (1994) 1685-1689
23. Samuelson P.A. Proof that properly anticipated prices fluctuate randomly. Ind Manage Rev 6 (1965) 41-45
24. Serletis A., and Rosenberg A. The hurst exponent in energy futures prices. Physica A 380 (2007) 325-332
25. Serletis A., and Shintani M. No evidence of chaos but some evidence of dependence in the US stock market. Chaos, Solitons & Fractals 17 (2003) 449-454
26. Serletis A, Uritskaya OY, Uritsky VM. Detrended fluctuation analysis of the US stock market. Int J Bifurc Chaos, forthcoming.