Dynamics of the Dow Jones and the NASDAQ stock indexes

Detalhes bibliográficos
Autor(a) principal: Duarte, Fernando B.
Data de Publicação: 2010
Outros Autores: Machado, J. A. Tenreiro, Duarte, Gonçalo Monteiro
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.22/4269
Resumo: The goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indices. We analyze the Dow Jones Industrial Average ( ∧ DJI) and the NASDAQ Composite ( ∧ IXIC) indexes at a daily time horizon. The methods and algorithms that have been explored for description of physical phenomena become an effective background, and even inspiration, for very productive methods used in the analysis of economical data. We start by applying the classical concepts of signal analysis, Fourier transform, and methods of fractional calculus. In a second phase we adopt a pseudo phase plane approach.
id RCAP_5e654442f8de6fdc303de9bd89ab9530
oai_identifier_str oai:recipp.ipp.pt:10400.22/4269
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Dynamics of the Dow Jones and the NASDAQ stock indexesPseudo phase planeFourier transformPower lawFractional calculusThe goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indices. We analyze the Dow Jones Industrial Average ( ∧ DJI) and the NASDAQ Composite ( ∧ IXIC) indexes at a daily time horizon. The methods and algorithms that have been explored for description of physical phenomena become an effective background, and even inspiration, for very productive methods used in the analysis of economical data. We start by applying the classical concepts of signal analysis, Fourier transform, and methods of fractional calculus. In a second phase we adopt a pseudo phase plane approach.SpringerRepositório Científico do Instituto Politécnico do PortoDuarte, Fernando B.Machado, J. A. TenreiroDuarte, Gonçalo Monteiro2014-03-27T15:32:28Z20102010-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.22/4269eng0924-090X10.1007/s11071-010-9680-zinfo: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:RCAAP2023-03-13T12:44:23Zoai:recipp.ipp.pt:10400.22/4269Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:25:11.050017Repositório 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 Dynamics of the Dow Jones and the NASDAQ stock indexes
title Dynamics of the Dow Jones and the NASDAQ stock indexes
spellingShingle Dynamics of the Dow Jones and the NASDAQ stock indexes
Duarte, Fernando B.
Pseudo phase plane
Fourier transform
Power law
Fractional calculus
title_short Dynamics of the Dow Jones and the NASDAQ stock indexes
title_full Dynamics of the Dow Jones and the NASDAQ stock indexes
title_fullStr Dynamics of the Dow Jones and the NASDAQ stock indexes
title_full_unstemmed Dynamics of the Dow Jones and the NASDAQ stock indexes
title_sort Dynamics of the Dow Jones and the NASDAQ stock indexes
author Duarte, Fernando B.
author_facet Duarte, Fernando B.
Machado, J. A. Tenreiro
Duarte, Gonçalo Monteiro
author_role author
author2 Machado, J. A. Tenreiro
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 Duarte, Fernando B.
Machado, J. A. Tenreiro
Duarte, Gonçalo Monteiro
dc.subject.por.fl_str_mv Pseudo phase plane
Fourier transform
Power law
Fractional calculus
topic Pseudo phase plane
Fourier transform
Power law
Fractional calculus
description The goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indices. We analyze the Dow Jones Industrial Average ( ∧ DJI) and the NASDAQ Composite ( ∧ IXIC) indexes at a daily time horizon. The methods and algorithms that have been explored for description of physical phenomena become an effective background, and even inspiration, for very productive methods used in the analysis of economical data. We start by applying the classical concepts of signal analysis, Fourier transform, and methods of fractional calculus. In a second phase we adopt a pseudo phase plane approach.
publishDate 2010
dc.date.none.fl_str_mv 2010
2010-01-01T00:00:00Z
2014-03-27T15:32:28Z
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/10400.22/4269
url http://hdl.handle.net/10400.22/4269
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 0924-090X
10.1007/s11071-010-9680-z
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 Springer
publisher.none.fl_str_mv Springer
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_ 1799131344466345984

Registros relacionados