Absence of 1/f Spectra in Dow Jones Daily Price

Wentian Li

International Journal of Bifurcation and Chaos , 1(3):583-597 (1991)

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/fa with a 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".