Identifying economic periods and crisis with the multidimensional scaling
Main Author: | |
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Publication Date: | 2011 |
Other Authors: | , |
Format: | Article |
Language: | eng |
Source: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Download full: | http://hdl.handle.net/10400.22/4145 |
Summary: | This paper applied MDS and Fourier transform to analyze different periods of the business cycle. With such purpose, four important stock market indexes (Dow Jones, Nasdaq, NYSE, S&P500) were studied over time. The analysis under the lens of the Fourier transform showed that the indexes have characteristics similar to those of fractional noise. By the other side, the analysis under the MDS lens identified patterns in the stock markets specific to each economic expansion period. Although the identification of patterns characteristic to each expansion period is interesting to practitioners (even if only in a posteriori fashion), further research should explore the meaning of such regularities and target to find a method to estimate future crisis. |
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Identifying economic periods and crisis with the multidimensional scalingMultidimensional scalingFractional calculusFourier transformEconomic cycleThis paper applied MDS and Fourier transform to analyze different periods of the business cycle. With such purpose, four important stock market indexes (Dow Jones, Nasdaq, NYSE, S&P500) were studied over time. The analysis under the lens of the Fourier transform showed that the indexes have characteristics similar to those of fractional noise. By the other side, the analysis under the MDS lens identified patterns in the stock markets specific to each economic expansion period. Although the identification of patterns characteristic to each expansion period is interesting to practitioners (even if only in a posteriori fashion), further research should explore the meaning of such regularities and target to find a method to estimate future crisis.SpringerRepositório Científico do Instituto Politécnico do PortoMachado, J. A. TenreiroDuarte, Gonçalo MonteiroDuarte, Fernando B.2014-03-06T16:07:41Z20112011-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.22/4145eng0924-090X10.1007/s11071-010-9823-2info: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:RCAAP2023-03-13T12:44:05Zoai:recipp.ipp.pt:10400.22/4145Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:25:02.428426Repositório 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 |
Identifying economic periods and crisis with the multidimensional scaling |
title |
Identifying economic periods and crisis with the multidimensional scaling |
spellingShingle |
Identifying economic periods and crisis with the multidimensional scaling Machado, J. A. Tenreiro Multidimensional scaling Fractional calculus Fourier transform Economic cycle |
title_short |
Identifying economic periods and crisis with the multidimensional scaling |
title_full |
Identifying economic periods and crisis with the multidimensional scaling |
title_fullStr |
Identifying economic periods and crisis with the multidimensional scaling |
title_full_unstemmed |
Identifying economic periods and crisis with the multidimensional scaling |
title_sort |
Identifying economic periods and crisis with the multidimensional scaling |
author |
Machado, J. A. Tenreiro |
author_facet |
Machado, J. A. Tenreiro Duarte, Gonçalo Monteiro Duarte, Fernando B. |
author_role |
author |
author2 |
Duarte, Gonçalo Monteiro Duarte, Fernando B. |
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, Gonçalo Monteiro Duarte, Fernando B. |
dc.subject.por.fl_str_mv |
Multidimensional scaling Fractional calculus Fourier transform Economic cycle |
topic |
Multidimensional scaling Fractional calculus Fourier transform Economic cycle |
description |
This paper applied MDS and Fourier transform to analyze different periods of the business cycle. With such purpose, four important stock market indexes (Dow Jones, Nasdaq, NYSE, S&P500) were studied over time. The analysis under the lens of the Fourier transform showed that the indexes have characteristics similar to those of fractional noise. By the other side, the analysis under the MDS lens identified patterns in the stock markets specific to each economic expansion period. Although the identification of patterns characteristic to each expansion period is interesting to practitioners (even if only in a posteriori fashion), further research should explore the meaning of such regularities and target to find a method to estimate future crisis. |
publishDate |
2011 |
dc.date.none.fl_str_mv |
2011 2011-01-01T00:00:00Z 2014-03-06T16:07:41Z |
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/10400.22/4145 |
url |
http://hdl.handle.net/10400.22/4145 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
0924-090X 10.1007/s11071-010-9823-2 |
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info:eu-repo/semantics/openAccess |
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openAccess |
dc.format.none.fl_str_mv |
application/pdf |
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Springer |
publisher.none.fl_str_mv |
Springer |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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