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Detrended fluctuation analysis of intertrade durations
Detrended fluctuation analysis intertrade durations
2010/12/20
The intraday pattern, long memory, and multifractal nature of the intertrade durations, which are defined as the waiting times between two consecutive transactions, are investigated based upon the li...
Comparison of detrending methods for fluctuation analysis
Comparison detrending methods fluctuation analysis
2010/12/17
We examine several recently suggested methods for the detection of long-range correlations in data series based on similar ideas as the well-established Detrended Fluctuation Analysis (DFA). In partic...