The effect of noise reduction in measuring the linear and nonlinear dependency of financial markets

Detalhes bibliográficos
Autor(a) principal: Hossein, Hassani
Data de Publicação: 2009
Outros Autores: Dionísio, Andreia, Ghodsi, Mansoureh
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10174/1820
Resumo: The daily closing prices of several stock market indices are examined to analyse whether noise reduction matters in measuring dependencies of the financial series. We consider the effect of noise reduction on the linear and nonlinear measure of dependencies. We also use singular spectrum analysis as a powerful method for filtering financial series. We compare the results with those obtained by ARMA and GARCH models as linear and nonlinear methods for filtering the series. We also examine the findings on an artificial data set namely the Hénon map.
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spelling The effect of noise reduction in measuring the linear and nonlinear dependency of financial marketsMeasure of dependencies, Noise reduction ,Stock markets, Mutual information, Detrended fluctuation analysis, Detrended moving average method, Singular spectrum analysis, ARMA, GARCHThe daily closing prices of several stock market indices are examined to analyse whether noise reduction matters in measuring dependencies of the financial series. We consider the effect of noise reduction on the linear and nonlinear measure of dependencies. We also use singular spectrum analysis as a powerful method for filtering financial series. We compare the results with those obtained by ARMA and GARCH models as linear and nonlinear methods for filtering the series. We also examine the findings on an artificial data set namely the Hénon map.Elsevier2009-11-16T15:57:00Z2009-11-162010-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article57165 bytesapplication/pdfhttp://hdl.handle.net/10174/1820http://hdl.handle.net/10174/1820eng492-50211Nonlinear Analysis: Real World Applicationslivrehassanih@cf.ac.ukandreia@uevora.ptnd637Hossein, HassaniDionísio, AndreiaGhodsi, Mansourehinfo: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:RCAAP2024-01-03T18:37:46Zoai:dspace.uevora.pt:10174/1820Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T00:57:39.659360Repositório 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 The effect of noise reduction in measuring the linear and nonlinear dependency of financial markets
title The effect of noise reduction in measuring the linear and nonlinear dependency of financial markets
spellingShingle The effect of noise reduction in measuring the linear and nonlinear dependency of financial markets
Hossein, Hassani
Measure of dependencies, Noise reduction ,Stock markets, Mutual information, Detrended fluctuation analysis, Detrended moving average method, Singular spectrum analysis, ARMA, GARCH
title_short The effect of noise reduction in measuring the linear and nonlinear dependency of financial markets
title_full The effect of noise reduction in measuring the linear and nonlinear dependency of financial markets
title_fullStr The effect of noise reduction in measuring the linear and nonlinear dependency of financial markets
title_full_unstemmed The effect of noise reduction in measuring the linear and nonlinear dependency of financial markets
title_sort The effect of noise reduction in measuring the linear and nonlinear dependency of financial markets
author Hossein, Hassani
author_facet Hossein, Hassani
Dionísio, Andreia
Ghodsi, Mansoureh
author_role author
author2 Dionísio, Andreia
Ghodsi, Mansoureh
author2_role author
author
dc.contributor.author.fl_str_mv Hossein, Hassani
Dionísio, Andreia
Ghodsi, Mansoureh
dc.subject.por.fl_str_mv Measure of dependencies, Noise reduction ,Stock markets, Mutual information, Detrended fluctuation analysis, Detrended moving average method, Singular spectrum analysis, ARMA, GARCH
topic Measure of dependencies, Noise reduction ,Stock markets, Mutual information, Detrended fluctuation analysis, Detrended moving average method, Singular spectrum analysis, ARMA, GARCH
description The daily closing prices of several stock market indices are examined to analyse whether noise reduction matters in measuring dependencies of the financial series. We consider the effect of noise reduction on the linear and nonlinear measure of dependencies. We also use singular spectrum analysis as a powerful method for filtering financial series. We compare the results with those obtained by ARMA and GARCH models as linear and nonlinear methods for filtering the series. We also examine the findings on an artificial data set namely the Hénon map.
publishDate 2009
dc.date.none.fl_str_mv 2009-11-16T15:57:00Z
2009-11-16
2010-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10174/1820
http://hdl.handle.net/10174/1820
url http://hdl.handle.net/10174/1820
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 492-502
11
Nonlinear Analysis: Real World Applications
livre
hassanih@cf.ac.uk
andreia@uevora.pt
nd
637
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eu_rights_str_mv openAccess
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dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
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