Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.22/4145
Título: Identifying economic periods and crisis with the multidimensional scaling
Autor: Machado, J. A. Tenreiro
Duarte, Gonçalo Monteiro
Duarte, Fernando B.
Palavras-chave: Multidimensional scaling
Fractional calculus
Fourier transform
Economic cycle
Data: 2011
Editora: Springer
Relatório da Série N.º: Nonlinear Dynamics; Vol. 63, Issue 4
Resumo: This paper applied MDS and Fourier transform to analyze different periods of the business cycle. With such purpose, four important stock market indexes (Dow Jones, Nasdaq, NYSE, S&P500) were studied over time. The analysis under the lens of the Fourier transform showed that the indexes have characteristics similar to those of fractional noise. By the other side, the analysis under the MDS lens identified patterns in the stock markets specific to each economic expansion period. Although the identification of patterns characteristic to each expansion period is interesting to practitioners (even if only in a posteriori fashion), further research should explore the meaning of such regularities and target to find a method to estimate future crisis.
Peer review: yes
URI: http://hdl.handle.net/10400.22/4145
ISSN: 0924-090X
1573-269X
Versão do Editor: http://link.springer.com/article/10.1007%2Fs11071-010-9823-2
Aparece nas colecções:ISEP - DEE - Artigos

Ficheiros deste registo:
Ficheiro Descrição TamanhoFormato 
ART_TenreiroMachado_2011_DEE.pdf1,91 MBAdobe PDFVer/Abrir    Acesso Restrito. Solicitar cópia ao autor!


FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpace
Formato BibTex MendeleyEndnote Degois 

Todos os registos no repositório estão protegidos por leis de copyright, com todos os direitos reservados.