Publication
Power law analysis of financial index dynamics
| dc.contributor.author | Machado, J. A. Tenreiro | |
| dc.contributor.author | Duarte, Fernando B. | |
| dc.contributor.author | Duarte, Gonçalo Monteiro | |
| dc.date.accessioned | 2014-02-06T14:45:36Z | |
| dc.date.available | 2014-02-06T14:45:36Z | |
| dc.date.issued | 2012 | |
| dc.description.abstract | Power law PL and fractional calculus are two faces of phenomena with long memory behavior. This paper applies PL description to analyze different periods of the business cycle. With such purpose the evolution of ten important stock market indices DAX, Dow Jones, NASDAQ, Nikkei, NYSE, S&P500, SSEC, HSI, TWII, and BSE over time is studied. An evolutionary algorithm is used for the fitting of the PL parameters. It is observed that the PL curve fitting constitutes a good tool for revealing the signal main characteristics leading to the emergence of the global financial dynamic evolution. | por |
| dc.identifier.doi | 10.1155/2012/120518 | pt_PT |
| dc.identifier.issn | 1026-0226 | |
| dc.identifier.uri | http://hdl.handle.net/10400.22/3737 | |
| dc.language.iso | eng | por |
| dc.peerreviewed | yes | por |
| dc.publisher | Hindawi Publishing Corporation | por |
| dc.relation.ispartofseries | Discrete Dynamics in Nature and Society; Vol. 2012 | |
| dc.relation.publisherversion | http://www.hindawi.com/journals/ddns/2012/120518/ | por |
| dc.title | Power law analysis of financial index dynamics | por |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.citation.endPage | 12 | por |
| oaire.citation.startPage | 1 | por |
| oaire.citation.title | Discrete Dynamics in Nature and Society | por |
| oaire.citation.volume | Vol. 2012 | 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 |