Relative fractional dynamics of stock markets

被引：0
作者：
J. A. Tenreiro Machado
António M. Lopes
机构：
[1] Institute of Engineering,Department of Electrical Engineering
[2] Polytechnic of Porto,UISPA–LAETA/INEGI, Faculty of Engineering
[3] University of Porto,undefined
来源：
Nonlinear Dynamics | 2016年 / 86卷
关键词：
Fractional calculus; Fractional dynamics; Power law; Fourier transform; Stock markets;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper analyses motion of stock markets (SM) in the perspective of fractional calculus and introduces the concept of relative fractional dynamics. The SM are characterized by long-range correlations and persistent memory. These features are found in natural and artificial systems and are well modelled by means of the tools of fractional calculus. The time series of daily closing prices of 11 SM for the period 9 July 1987 to 22 April 2016 are interpreted as motion trajectories and their distances analysed through the Fourier transform. The amplitude spectra are approximated by power law functions, characterizing the relative motion of the financial indices and their slow tendency to synchronize.
引用
收藏
页码：1613 / 1619
页数：6
相关论文
共 83 条
[1]  
Agrawal OP(2002)Formulation of Euler–Lagrange equations for fractional variational problems J. Math. Anal. Appl. 272 368-379
[2]  
Bharathi A(2016)Feedrate optimization for smooth minimum-time trajectory generation with higher order constraints Int. J. Adv. Manuf. Technol. 82 1029-1040
[3]  
Dong J(2006)Fractional order control strategies for power electronic buck converters Sig. Process. 86 2803-2819
[4]  
Calderón AJ(2007)Comprehensive survey on distance/similarity measures between probability density functions City 1 1-248
[5]  
Vinagre BM(2002)Analysis of fractional differential equations J. Math. Anal. Appl. 265 229-42
[6]  
Feliu V(2014)Why can weak linkages cause international stock market synchronization? The mode-locking effect Int. J. Financ. Res. 5 20-98
[7]  
Cha SH(2013)Non-linear problems of fractional calculus in modeling of mechanical systems Int. J. Mech. Sci. 70 90-114
[8]  
Diethelm K(1979)The relationship between equity indices on world exchanges J. Finance 34 103-2964
[9]  
Ford NJ(2009)A network analysis of the Chinese stock market Phys. A 388 2956-97
[10]  
Filer L(1998)Strong regularities in world wide web surfing Science 280 95-3858
123456789