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Medium · time_series · Quant Researcher interview question · detrended_fluctuation_analysis, scaling_exponent, long_range_dependence, hurst_exponent, fractal_analysis, time_series
Detrended Fluctuation Analysis (DFA) is a method for quantifying long-range dependence or "memory" in a time series. In quantitative finance, the DFA exponent helps identify persistence (momentum) or anti-persistence (mean reversion) in asset returns, which is crucial for designing trading strategies. The analysis involves calculating a scaling exponent by measuring fluctuations in an integrated series across different window sizes after removing local trends. Task Implement the function dfa_ex