SFI Working Paper Abstract
1990
| Title: | Absence of 1/f Spectra in Dow Jones Daily Price |
| Author(s): | Wentian Li |
| Files: | [No electronic files available.] |
| Paper #: | 90-009 |
| Abstract: | The power spectra for the daily Dow Jones average, both the original series and the de-trended series, are calculated. The spectra are of the form 1/f omega with omega close to 2 instead of 1. Also studied is the distribution of daily price changes which is in-between an exponential and a power law function. With certain criterion, this result suggests that stock market activities may not be qualified as "critical." |