Anti-Persistence

Anti-Persistence

In R/S Analysis, an anti-persistent time series reverses itself more often than a random series would. If the system had been up in the previous period, it is more likely that it will be down in the next period and vice versa. Also called pink noise, or 1/f noise. See: Persistence, R/S Analysis, Hurst Exponent, Joseph Effect, Noah Effect.
References in periodicals archive ?
Section 2 provides a brief review of literature related to long-term memory in the forms of persistence and anti-persistence. The sections 3 and 4 present the data series and describe the methods employed.
Markets that exhibit anti-persistence, or unpredictability, are usually called ultra-efficient markets (Los & Yu, 2008).
The strength of the anti-persistence behaviour increases as the value of the exponent H approaches zero.
If the time series exhibits positive or negative long-term dependence, the exponent H should converge in values larger (persistence) or smaller (anti-persistence) than 0.5, respectively.
This implies anti-persistence and a faster return to the original level.
(2008a) find the Hurst exponent varies substantially from persistence (above 0.5) to anti-persistence (below 0.5).
Anti-persistence can be more easily interpreted on the grounds, for instance, of a learning process leading to price overreactions that are immediately adjusted.
This is an attempt to explain how the annual cycle plays a crucial role in causing the long-term anti-persistence in the globally averaged case.