Analysis of financial indices by means of the windowed Fourier transform

被引：0
作者：
J. Tenreiro Machado
Fernando B. Duarte
Gonçalo Monteiro Duarte
机构：
[1] Institute of Engineering,Department of Electrical Engineering
[2] Lusofona University,Faculty of Engineering and Natural Sciences
[3] Lusofona University,undefined
来源：
Signal, Image and Video Processing | 2012年 / 6卷
关键词：
Fourier transform; Windowed Fourier transform; Power law; Dynamics;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
The goal of this study is to analyze the dynamical properties of financial data series from nineteen worldwide stock market indices (SMI) during the period 1995–2009. SMI reveal a complex behavior that can be explored since it is available a considerable volume of data. In this paper is applied the window Fourier transform and methods of fractional calculus. The results reveal classification patterns typical of fractional order systems.
引用
收藏
页码：487 / 494
页数：7
相关论文
共 46 条
  • [1] Ahrens B.(2006)Distance in spatial interpolation of daily rain gauge data Hydrol. Earth Syst. Sci. 10 197-208
  • [2] Cajueiro D.O.(2004)Evidence of long range dependence in asian equity markets: the role of liquidity and market restrictions Phys. A Stat. Mech. Appl. 342 656-664
  • [3] Tabak B.M.(2004)The hurst exponent over time: testing the assertion that emerging markets are becoming more efficient Phys. A Stat. Mech. Appl. 336 521-537
  • [4] Cajueiro D.O.(2005)Possible causes of long-range dependence in the Brazilian stock market Phys. A Stat. Mech. Appl. 345 635-645
  • [5] Tabak B.M.(2007)Are the crude oil markets becoming weakly efficient over time? a test for time-varying long-range dependence in prices and volatility Energy Econ. 29 28-36
  • [6] Cajueiro D.O.(2010)Dynamics of the Dow Jones and the NASDAQ stock indexes Nonlinear Dyn. 61 691-705
  • [7] Tabak B.M.(2010)Time-varying predictability in crude-oil markets: the case of gcc countries Energy Policy 38 4371-4380
  • [8] Cajueiro D.O.(2007)A unified econophysics explanation for the power-law exponents of stock market activity Physica A 382 81-88
  • [9] Tabak B.M.(1946)Theory of communication JIEE 93 429-459
  • [10] Duarte F.B.(2002)Fractional diffusion: probability distributions and random walk models Physica A 305 106-112
12345