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Detrended Fluctuation Analysis Of Financial Data

Student Name: Argyle, Bronson
Advisor Name: Hart, Gus
Approval Date: 8/1/2008
Report Type: Senior Thesis
Title: Detrended Fluctuation Analysis Of Financial Data
Abstract: 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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