Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.22/4134
Título: Fractional dynamics in financial indexes
Autor: Machado, J. A. Tenreiro
Duarte, Fernando B.
Duarte, Gonçalo Monteiro
Palavras-chave: Fourier transform
Power law
Dynamics
Fractional calculus
Data: 2012
Editora: World Scientific
Relatório da Série N.º: International Journal of Bifurcation and Chaos; Vol. 22, Issue 10
Resumo: 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.
Peer review: yes
URI: http://hdl.handle.net/10400.22/4134
ISSN: 0218-1274
1793-6551
Versão do Editor: http://www.worldscientific.com/doi/abs/10.1142/S0218127412502495
Aparece nas colecções:ISEP - DEE - Artigos

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