Power law analysis of financial index dynamics

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, SSE...

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Detalhes bibliográficos
Autor principal: Machado, J. A. Tenreiro (author)
Outros Autores: Duarte, Fernando B. (author), Duarte, Gonçalo Monteiro (author)
Formato: article
Idioma:eng
Publicado em: 2014
Texto completo:http://hdl.handle.net/10400.22/3737
País:Portugal
Oai:oai:recipp.ipp.pt:10400.22/3737
Descrição
Resumo: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.

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