Analysis of financial indices by means of the windowed Fourier transform

Machado, J. A. Tenreiro; Duarte, Fernando B.; Duarte, Gonçalo Monteiro

http://hdl.handle.net/10400.22/3786

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Autores

Machado, J. A. Tenreiro

Duarte, Fernando B.

Duarte, Gonçalo Monteiro

Resumo(s)

The goal of this study is to analyze the dynamical properties of financial data series from nineteen worldwide stock market indices (SMI) during the period 1995–2009. SMI reveal a complex behavior that can be explored since it is available a considerable volume of data. In this paper is applied the window Fourier transform and methods of fractional calculus. The results reveal classification patterns typical of fractional order systems.

Palavras-chave

Fourier transform Windowed Fourier transform Power law Dynamics

URI

http://hdl.handle.net/10400.22/3786

Editora

Springer

DOI

10.1007/s11760-012-0331-3

Coleções

ISEP - DEE - Artigos

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