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Analysis of short term price trends in daily stock-market index data

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Listed:
  • H. F. Coronel-Brizio
  • A. R. Hern'andez Montoya
  • H. R Olivares S'anchez
  • E. Scalas

Abstract

In financial time series there are periods in which the value increases or decreases monotonically. We call those periods elemental trends and study the probability distribution of their duration for the indices DJIA, NASDAQ and IPC. It is found that the trend duration distribution often differs from the one expected under no memory. The expected and observed distributions are compared by means of the Anderson-Darling test.

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  • H. F. Coronel-Brizio & A. R. Hern'andez Montoya & H. R Olivares S'anchez & E. Scalas, 2012. "Analysis of short term price trends in daily stock-market index data," Papers 1211.3060, arXiv.org.
    • Handle: RePEc:arx:papers:1211.3060
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    Cited by:

    1. Jacinta Chan Phooi M’ng & Rozaimah Zainudin, 2016. "Assessing the Efficacy of Adjustable Moving Averages Using ASEAN-5 Currencies," PLOS ONE, Public Library of Science, vol. 11(8), pages 1-19, August.
    2. Rodríguez-Martínez, C.M. & Coronel-Brizio, H.F. & Hernández-Montoya, A.R., 2021. "A multi-scale symmetry analysis of uninterrupted trends returns in daily financial indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).

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