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Key Concepts in Marketing
Employing detrended fluctuation analysis (DFA) and detrended cross-correlations analysis (DCCA), we analyze auto-correlations in the absolute returns for each of 30 Dow Jones Industrial Average (DJIA) constituents, S i , and cross-correlations in the absolute returns between the DJIA and each S i . We find that each DJIA member follows the DJIA in absolute returns, since the DCCA curve for each pair (S i , DJIA i ) exhibits strong cross-correlations, with average DCCA exponent ⟨λ⟩ = 1.03 ±doi:10.4135/9781446221617.n4 fatcat:7rwroufs7rgsxecsvvtas7qntu