Relative fractional dynamics of stock markets

Detalhes bibliográficos
Autor(a) principal: Machado, J.A.Tenreiro
Data de Publicação: 2016
Outros Autores: Lopes, António M.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.22/9450
Resumo: 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 lawfunctions, characterizing the relative motion of the financial indices and their slow tendency to synchronize.
id RCAP_4c94c65091bbaaf9d25fd95752482779
oai_identifier_str oai:recipp.ipp.pt:10400.22/9450
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Relative fractional dynamics of stock marketsFractional calculusFractional dynamicsPower lawFourier transformStock marketsThis 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 lawfunctions, characterizing the relative motion of the financial indices and their slow tendency to synchronize.Springer VerlagRepositório Científico do Instituto Politécnico do PortoMachado, J.A.TenreiroLopes, António M.2016-072117-07-01T00:00:00Z2016-07-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.22/9450eng10.1007/s11071-016-2980-1metadata only accessinfo: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:RCAAP2023-03-13T12:50:49Zoai:recipp.ipp.pt:10400.22/9450Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:30:01.930539Repositório 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 Relative fractional dynamics of stock markets
title Relative fractional dynamics of stock markets
spellingShingle Relative fractional dynamics of stock markets
Machado, J.A.Tenreiro
Fractional calculus
Fractional dynamics
Power law
Fourier transform
Stock markets
title_short Relative fractional dynamics of stock markets
title_full Relative fractional dynamics of stock markets
title_fullStr Relative fractional dynamics of stock markets
title_full_unstemmed Relative fractional dynamics of stock markets
title_sort Relative fractional dynamics of stock markets
author Machado, J.A.Tenreiro
author_facet Machado, J.A.Tenreiro
Lopes, António M.
author_role author
author2 Lopes, António M.
author2_role author
dc.contributor.none.fl_str_mv Repositório Científico do Instituto Politécnico do Porto
dc.contributor.author.fl_str_mv Machado, J.A.Tenreiro
Lopes, António M.
dc.subject.por.fl_str_mv Fractional calculus
Fractional dynamics
Power law
Fourier transform
Stock markets
topic Fractional calculus
Fractional dynamics
Power law
Fourier transform
Stock markets
description 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 lawfunctions, characterizing the relative motion of the financial indices and their slow tendency to synchronize.
publishDate 2016
dc.date.none.fl_str_mv 2016-07
2016-07-01T00:00:00Z
2117-07-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.22/9450
url http://hdl.handle.net/10400.22/9450
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.1007/s11071-016-2980-1
dc.rights.driver.fl_str_mv metadata only access
info:eu-repo/semantics/openAccess
rights_invalid_str_mv metadata only access
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Springer Verlag
publisher.none.fl_str_mv Springer Verlag
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str 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
repository.mail.fl_str_mv
_version_ 1799131396731568128

Registros relacionados