Power Law Analysis of Financial Index Dynamics
Joint Authors
Duarte, Fernando B.
Duarte, Gonçalo Monteiro
Tenreiro Machado, José António
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-07-10
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
Power law (PL) and fractional calculus are two faces of phenomena with long memory behavior.
This paper applies PL description to analyze different periods of the business cycle.
With such purpose the evolution of ten important stock market indices (DAX, Dow Jones, NASDAQ, Nikkei, NYSE, S&P500, SSEC, HSI, TWII, and BSE) over time is studied.
An evolutionary algorithm is used for the fitting of the PL parameters.
It is observed that the PL curve fitting constitutes a good tool for revealing the signal main characteristics leading to the emergence of the global financial dynamic evolution.
American Psychological Association (APA)
Tenreiro Machado, José António& Duarte, Fernando B.& Duarte, Gonçalo Monteiro. 2012. Power Law Analysis of Financial Index Dynamics. Discrete Dynamics in Nature and Society،Vol. 2012, no. 2012, pp.1-12.
https://search.emarefa.net/detail/BIM-447254
Modern Language Association (MLA)
Tenreiro Machado, José António…[et al.]. Power Law Analysis of Financial Index Dynamics. Discrete Dynamics in Nature and Society No. 2012 (2012), pp.1-12.
https://search.emarefa.net/detail/BIM-447254
American Medical Association (AMA)
Tenreiro Machado, José António& Duarte, Fernando B.& Duarte, Gonçalo Monteiro. Power Law Analysis of Financial Index Dynamics. Discrete Dynamics in Nature and Society. 2012. Vol. 2012, no. 2012, pp.1-12.
https://search.emarefa.net/detail/BIM-447254
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-447254
