Publication
A fractional perspective to financial indices
| dc.contributor.author | Machado, J. A. Tenreiro | |
| dc.date.accessioned | 2015-01-27T11:40:27Z | |
| dc.date.available | 2015-01-27T11:40:27Z | |
| dc.date.issued | 2014 | |
| dc.description.abstract | The application of mathematical methods and computer algorithms in the analysis of economic and financial data series aims to give empirical descriptions of the hidden relations between many complex or unknown variables and systems. This strategy overcomes the requirement for building models based on a set of ‘fundamental laws’, which is the paradigm for studying phenomena usual in physics and engineering. In spite of this shortcut, the fact is that financial series demonstrate to be hard to tackle, involving complex memory effects and a apparently chaotic behaviour. Several measures for describing these objects were adopted by market agents, but, due to their simplicity, they are not capable to cope with the diversity and complexity embedded in the data. Therefore, it is important to propose new measures that, on one hand, are highly interpretable by standard personal but, on the other hand, are capable of capturing a significant part of the dynamical effects. | por |
| dc.identifier.doi | 10.1080/02331934.2013.877907 | |
| dc.identifier.doi | 0233-1934 | |
| dc.identifier.issn | 1029-4945 | |
| dc.identifier.uri | http://hdl.handle.net/10400.22/5484 | |
| dc.language.iso | eng | por |
| dc.peerreviewed | yes | por |
| dc.publisher | Taylor & Francis | por |
| dc.relation.ispartofseries | Optimization A Journal of Mathematical Programming and Operations Research;Vol. 64, Issue 2 | |
| dc.relation.publisherversion | http://www.tandfonline.com/doi/abs/10.1080/02331934.2013.877907#.VMdq5dKsXTo | por |
| dc.subject | Fractional calculus | por |
| dc.subject | Financial series | por |
| dc.subject | Econometrics | por |
| dc.subject | Yield | por |
| dc.subject | Arithmetic return | por |
| dc.subject | 91G70 | por |
| dc.subject | 91G80 | por |
| dc.subject | 26A33 | por |
| dc.subject | 60G22 | por |
| dc.title | A fractional perspective to financial indices | por |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.citation.endPage | 1179 | por |
| oaire.citation.startPage | 1167 | por |
| oaire.citation.title | Optimization A Journal of Mathematical Programming and Operations Research | 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 | closedAccess | por |
| rcaap.type | article | por |
| relation.isAuthorOfPublication | 82cd5c17-07b6-492b-b3e3-ecebdad1254f | |
| relation.isAuthorOfPublication.latestForDiscovery | 82cd5c17-07b6-492b-b3e3-ecebdad1254f |