On the Autocorrelation and Stationarity of Multi-Scale Returns

In this article, we conduct a statistical analysis of the autocorrelation functions (ACF) of multi-scale logarithmic returns computed over maximal monotonic uninterrupted trends (runs) in financial indices’ daily data. We analyze the Dow Jones Industrial Average (DJIA) and the Mexican IPC (Índice de Precios y Cotizaciones) over a period from 30 October 1978 to 19 May 2025. We examine how deterministic alternation of signs shapes the ACF of multi-scale returns, and we evaluate covariance stationarity via formal tests (e.g., Augmented Dickey–Fuller and Phillips–Perron). We conclude that, despite the persistent long-memory oscillations in the ACF, multi-scale return series pass the stationarity tests, an outcome with interesting implications for econometric modeling of financial time series.

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Publication Details

Journal
Mathematics
Published
2025-09-05
DOI
https://doi.org/10.3390/math13172877
Citations
1
Primary Topic
Complex Systems and Time Series Analysis
Type
article
Field-Weighted Citation Impact
3.13

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article

On the Autocorrelation and Stationarity of Multi-Scale Returns

Horacio Tapia‐McClung, H. F. Coronel-Brizio, M. Rodrı́guez-Achach, R. Hernández-Montoya et al.
1 citations
Mathematics
Complex Systems and Time Series Analysis
3.13
article

On the Autocorrelation and Stationarity of Multi-Scale Returns

Horacio Tapia‐McClung, H. F. Coronel-Brizio, M. Rodrı́guez-Achach, R. Hernández-Montoya, Carlos Manuel Rodríguez-Martínez
article en
1 citations

Abstract

In this article, we conduct a statistical analysis of the autocorrelation functions (ACF) of multi-scale logarithmic returns computed over maximal monotonic uninterrupted trends (runs) in financial indices’ daily data. We analyze the Dow Jones Industrial Average (DJIA) and the Mexican IPC (Índice de Precios y Cotizaciones) over a period from 30 October 1978 to 19 May 2025. We examine how deterministic alternation of signs shapes the ACF of multi-scale returns, and we evaluate covariance stationarity via formal tests (e.g., Augmented Dickey–Fuller and Phillips–Perron). We conclude that, despite the persistent long-memory oscillations in the ACF, multi-scale return series pass the stationarity tests, an outcome with interesting implications for econometric modeling of financial time series.

MathematicsVol. 13(17)
Universidad Veracruzana (MX), Universidad Marista de Mérida (MX)
Consejo Nacional de Ciencia y Tecnología, Universidad Veracruzana, Consejo Nacional de Ciencia y Tecnología, Guatemala
Openalex Percentile: Top 7%
Complex Systems and Time Series Analysis
3.13
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