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.
Authors
- Horacio Tapia‐McClung (ORCID: https://orcid.org/0000-0002-9671-9751)
- H. F. Coronel-Brizio (ORCID: https://orcid.org/0000-0001-5684-3873)
- M. Rodrı́guez-Achach (ORCID: https://orcid.org/0000-0002-6219-2074)
- R. Hernández-Montoya (ORCID: https://orcid.org/0000-0002-7244-8790)
- Carlos Manuel Rodríguez-Martínez (ORCID: https://orcid.org/0000-0002-4378-2220)
Institutions
- Universidad Veracruzana (MX)
- Universidad Marista de Mérida (MX)
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
Funders
- Consejo Nacional de Ciencia y Tecnología
- Universidad Veracruzana
- Consejo Nacional de Ciencia y Tecnología, Guatemala