Publication
Identifying Economic Periods and Crisis with Power Law
| dc.contributor.author | Tenreiro Machado, J. A. | |
| dc.contributor.author | Duarte, Gonçalo M. | |
| dc.contributor.author | Duarte, Fernando B. | |
| dc.date.accessioned | 2019-04-16T11:26:13Z | |
| dc.date.available | 2019-04-16T11:26:13Z | |
| dc.date.issued | 2011-07 | |
| dc.description.abstract | Power law (PL) and Fractional Calculus are two faces of phenomena with long memory behaviour. This paper applies PL approximations to analyze different periods of the business cycle. With such purpose eight important stock market indexes, namely the CAC, DAX, Dow Jones, FTSE, HSI, IBEX,MIBTEL and SSMI are studied over time. It is observed that the PL curvefitting constitutes a good tool for separating the signal dynamics from the noise while revealing the main system characteristics. The analysis under the lens of the PL shows that the indexes have characteristics similar to those of fractional noise and it permits to identify patterns in the stock markets specific to each economic expansion period. | pt_PT |
| dc.description.version | N/A | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10400.22/13592 | |
| dc.language.iso | eng | pt_PT |
| dc.title | Identifying Economic Periods and Crisis with Power Law | pt_PT |
| dc.type | conference object | |
| dspace.entity.type | Publication | |
| oaire.citation.conferencePlace | Rome, Italy | pt_PT |
| oaire.citation.endPage | 3 | pt_PT |
| oaire.citation.startPage | 1 | pt_PT |
| oaire.citation.title | ENOC 2011 | pt_PT |
| person.familyName | Tenreiro Machado | |
| person.givenName | J. A. | |
| person.identifier.ciencia-id | 7A18-4935-5B29 | |
| person.identifier.orcid | 0000-0003-4274-4879 | |
| person.identifier.rid | M-2173-2013 | |
| person.identifier.scopus-author-id | 55989030100 | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | conferenceObject | pt_PT |
| relation.isAuthorOfPublication | 82cd5c17-07b6-492b-b3e3-ecebdad1254f | |
| relation.isAuthorOfPublication.latestForDiscovery | 82cd5c17-07b6-492b-b3e3-ecebdad1254f |