Long Correlations Applied to the Study of Dow Jones Index

Emmanuel Ncheuguim
New Mexico State University


Abstract: Long correlation study of a financial index along with the rate of return of all companies within the index is analyzed in this work. The Hurst exponent and the Detrended fluctuation analysis (DFA) technique are the tools used for this analysis. We detected long-correlations in the rate of return of the companies and briefly discussed some features specific in comparison to the financial index.