Finding Periodic & Non periodic Cycle With Modified Rescale Range Analysis
Subject Areas : Financial Knowledge of Securities Analysis
Keywords: Modify Rescale Range Analysis, periodic and non periodic cycl, Spectral Analysis, Wavelet analysis, fractal analysis,
Abstract :
For some technical analysts, finding cycles is synonymous with market analysis. There is something comforting in the idea that markets, like many natural phenomena, have a regular ebb and flow. These technicians believe that there are regular market cycles, hidden by noise or irregular perturbations that drive the market's underlying clockwork mechanism. Such "cycles" have proven fickle to unwary investors. Sometimes they work, sometimes they do not. There are Statistical tests to find periodic and non periodic cycle, such as spectral analysis, wavelet analysis…that some of them find only correlated noise. But these methods could not prove their ability to find cycles. The search for cycles in the market and in the economy has proven frustrating for all concerned. Strong method to analysis cycles is modified rescale range analysis that based on fractal analysis. The result of this research not only show that modified rescale rang analysis has enough ability to find periodic and non periodic cycles but also increasing data move us from local randomness to global determinism