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Analysis of stock market indices with multidimensional scaling and wavelets
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Resumo(s)
Stock market indices SMIs are important measures of financial and economical performance.
Considerable research efforts during the last years demonstrated that these signals have a chaotic
nature and require sophisticated mathematical tools for analyzing their characteristics. Classical
methods, such as the Fourier transform, reveal considerable limitations in discriminating different
periods of time. This paper studies the dynamics of SMI by combining the wavelet transform
and the multidimensional scaling MDS . Six continuous wavelets are tested for analyzing the
information content of the stock signals. In a first phase, the real Shannon wavelet is adopted for
performing the evaluation of the SMI dynamics, while their comparison is visualized by means of
the MDS. In a second phase, the other wavelets are also tested, and the corresponding MDS plots
are analyzed.
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Hindawi Publishing Corporation