Publication
Fractional dynamics in financial indexes
| dc.contributor.author | Machado, J. A. Tenreiro | |
| dc.contributor.author | Duarte, Fernando B. | |
| dc.contributor.author | Duarte, Gonçalo Monteiro | |
| dc.date.accessioned | 2014-03-06T14:47:26Z | |
| dc.date.available | 2014-03-06T14:47:26Z | |
| dc.date.issued | 2012 | |
| dc.description.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. | por |
| dc.identifier.doi | 10.1142/S0218127412502495 | pt_PT |
| dc.identifier.issn | 0218-1274 | |
| dc.identifier.issn | 1793-6551 | |
| dc.identifier.uri | http://hdl.handle.net/10400.22/4134 | |
| dc.language.iso | eng | por |
| dc.peerreviewed | yes | por |
| dc.publisher | World Scientific | por |
| dc.relation.ispartofseries | International Journal of Bifurcation and Chaos; Vol. 22, Issue 10 | |
| dc.relation.publisherversion | http://www.worldscientific.com/doi/abs/10.1142/S0218127412502495 | por |
| dc.subject | Fourier transform | por |
| dc.subject | Power law | por |
| dc.subject | Dynamics | por |
| dc.subject | Fractional calculus | por |
| dc.title | Fractional dynamics in financial indexes | por |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.citation.endPage | 12 | por |
| oaire.citation.issue | Issue 10 | por |
| oaire.citation.startPage | 1 | por |
| oaire.citation.title | International Journal of Bifurcation and Chaos | por |
| oaire.citation.volume | Vol. 22 | por |
| 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 | por |
| rcaap.type | article | por |
| relation.isAuthorOfPublication | 82cd5c17-07b6-492b-b3e3-ecebdad1254f | |
| relation.isAuthorOfPublication.latestForDiscovery | 82cd5c17-07b6-492b-b3e3-ecebdad1254f |