On the Autocorrelation and Stationarity of Multi-Scale Returns

In this article, we conduct a statistical analysis of the autocorrelation functions (ACF) of multi-scale logarithmic returns computed over maximal monotonic uninterrupted trends (runs) in financial indices’ daily data. We analyze the Dow Jones Industrial Average (DJIA) and the Mexican IPC (Índice de...

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Bibliografiske detaljer

Principais autores:	Carlos Manuel Rodríguez-Martínez, Héctor Francisco Coronel-Brizio, Horacio Tapia-McClung, Manuel Enríque Rodríguez-Achach, Alejandro Raúl Hernández-Montoya
Format:	Artigo
Sprog:	Inglês
Udgivet:	MDPI AG 2025-09-01
Serier:	Mathematics
Fag:	price runs multi-scale returns properties empirical analysis stationarity
Online adgang:	https://www.mdpi.com/2227-7390/13/17/2877
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