Fractal analysis of Dow Jones Industrial Index returns

Conversano, Claudio;PILI, AMBROGIO;Venturi Beatrice

2017-01-01

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Abstract

The objective of this paper is to demonstrate through empirical analyzes of prices, yields and volatility of the stock Dow Jones Industrial Average 30 that the Fractal Market Hypothesis (FMH) and the resulting fractal analysis that descends offer estimates and more realistic estimates than do the Efficient Market Hypothesis (EMH).The first part of this work is concerned to find a long-term dependence on stock market index returns through the use of R / S statistic, you determine the length of the average market cycle through the statistic V, later we will find the Hurst coefficient as a measure of the degree of persistence of the time series trend.