FRACTIONAL DYNAMICS IN FINANCIAL INDICES-Reference-Cited by-同舟云学术

FRACTIONAL DYNAMICS IN FINANCIAL INDICES

Published:2012-10 Issue:10 Volume:22 Page:1250249
ISSN:0218-1274
Container-title:International Journal of Bifurcation and Chaos
language:en
Short-container-title:Int. J. Bifurcation Chaos

Author:

TENREIRO MACHADO J.¹,DUARTE FERNANDO B.²,DUARTE GONÇALO M.³

Affiliation:

1. Department of Electrical Engineering, Institute of Engineering of Porto, Rua Dr. António Bernardino de Almeida, 431, Porto 4200-072, Portugal

2. Department of Mathematics, School of Technology, Campus Politécnico, 3504-510 Viseu, Portugal

3. Lusofona University, Campo Grande, 376, 1749–024 Lisboa, Portugal

Abstract

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.

Publisher

World Scientific Pub Co Pte Lt

Subject

Applied Mathematics,Modelling and Simulation,Engineering (miscellaneous)

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0218127412502495

Reference21 articles.

1. Distance in spatial interpolation of daily rain gauge data

2. The Pricing of Options and Corporate Liabilities

3. Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions

4. The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient

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