Dynamics of the Dow Jones and the NASDAQ stock indexes

The goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indices. We analyze the Dow Jones Industrial Average ( ∧ DJI ) and the NASDAQ Composite ( ∧ IXIC ) indexes at a daily time horizon. The methods and algorithms that have been explor...

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Bibliographic Details
Published in:Nonlinear dynamics 2010-09, Vol.61 (4), p.691-705
Main Authors: Duarte, Fernando B., Tenreiro Machado, J. A., Monteiro Duarte, Gonçalo
Format: Article
Language:English
Subjects:
Algorithms
Automotive Engineering
Calculus
Classical Mechanics
Control
Dow Jones averages
Dynamical Systems
Economic analysis
Engineering
Fourier transforms
Fractional calculus
Inspiration
Markets
Mathematical analysis
Mechanical Engineering
Nonlinear dynamics
Original Paper
Raw materials
Signal analysis
Stock market indexes
Vibration
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Summary:The goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indices. We analyze the Dow Jones Industrial Average ( ∧ DJI ) and the NASDAQ Composite ( ∧ IXIC ) indexes at a daily time horizon. The methods and algorithms that have been explored for description of physical phenomena become an effective background, and even inspiration, for very productive methods used in the analysis of economical data. We start by applying the classical concepts of signal analysis, Fourier transform, and methods of fractional calculus. In a second phase we adopt a pseudo phase plane approach.
ISSN:0924-090X
1573-269X
DOI:10.1007/s11071-010-9680-z