Fractional dynamics in financial indexes
Autor(a) principal: | |
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Data de Publicação: | 2012 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.22/4134 |
Resumo: | The goal of this study is the analysis of the dynamical properties of financial data series from 32 worldwide stock market indices during the period 2000–2009 at a daily time horizon. Stock market indices are examples of complex interacting systems for which a huge amount of data exists. The methods and algorithms that have been explored for the description of physical phenomena become an effective background in the analysis of economical data. In this perspective are applied the classical concepts of signal analysis, Fourier transform and methods of fractional calculus. The results reveal classification patterns typical of fractional dynamical systems. |
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Fractional dynamics in financial indexesFourier transformPower lawDynamicsFractional calculusThe goal of this study is the analysis of the dynamical properties of financial data series from 32 worldwide stock market indices during the period 2000–2009 at a daily time horizon. Stock market indices are examples of complex interacting systems for which a huge amount of data exists. The methods and algorithms that have been explored for the description of physical phenomena become an effective background in the analysis of economical data. In this perspective are applied the classical concepts of signal analysis, Fourier transform and methods of fractional calculus. The results reveal classification patterns typical of fractional dynamical systems.World ScientificRepositório Científico do Instituto Politécnico do PortoMachado, J. A. TenreiroDuarte, Fernando B.Duarte, Gonçalo Monteiro2014-03-06T14:47:26Z20122012-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.22/4134eng0218-127410.1142/S0218127412502495info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-13T12:43:59Zoai:recipp.ipp.pt:10400.22/4134Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:25:01.082139Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Fractional dynamics in financial indexes |
title |
Fractional dynamics in financial indexes |
spellingShingle |
Fractional dynamics in financial indexes Machado, J. A. Tenreiro Fourier transform Power law Dynamics Fractional calculus |
title_short |
Fractional dynamics in financial indexes |
title_full |
Fractional dynamics in financial indexes |
title_fullStr |
Fractional dynamics in financial indexes |
title_full_unstemmed |
Fractional dynamics in financial indexes |
title_sort |
Fractional dynamics in financial indexes |
author |
Machado, J. A. Tenreiro |
author_facet |
Machado, J. A. Tenreiro Duarte, Fernando B. Duarte, Gonçalo Monteiro |
author_role |
author |
author2 |
Duarte, Fernando B. Duarte, Gonçalo Monteiro |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
Repositório Científico do Instituto Politécnico do Porto |
dc.contributor.author.fl_str_mv |
Machado, J. A. Tenreiro Duarte, Fernando B. Duarte, Gonçalo Monteiro |
dc.subject.por.fl_str_mv |
Fourier transform Power law Dynamics Fractional calculus |
topic |
Fourier transform Power law Dynamics Fractional calculus |
description |
The goal of this study is the analysis of the dynamical properties of financial data series from 32 worldwide stock market indices during the period 2000–2009 at a daily time horizon. Stock market indices are examples of complex interacting systems for which a huge amount of data exists. The methods and algorithms that have been explored for the description of physical phenomena become an effective background in the analysis of economical data. In this perspective are applied the classical concepts of signal analysis, Fourier transform and methods of fractional calculus. The results reveal classification patterns typical of fractional dynamical systems. |
publishDate |
2012 |
dc.date.none.fl_str_mv |
2012 2012-01-01T00:00:00Z 2014-03-06T14:47:26Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.22/4134 |
url |
http://hdl.handle.net/10400.22/4134 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
0218-1274 10.1142/S0218127412502495 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
World Scientific |
publisher.none.fl_str_mv |
World Scientific |
dc.source.none.fl_str_mv |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1817553008190291968 |