Power Law Analysis of Financial Index Dynamics | Zendy

J. A. Tenreiro Machado | Zendy; Fernando B. Duarte | Zendy; Gonçalo Monteiro Duarte | Zendy

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Power Law Analysis of Financial Index Dynamics

Author(s) -

J. A. Tenreiro Machado,

Fernando B. Duarte,

Gonçalo Monteiro Duarte

Publication year - 2012

Publication title -

discrete dynamics in nature and society

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.264

H-Index - 39

eISSN - 1607-887X

pISSN - 1026-0226

DOI - 10.1155/2012/120518

Subject(s) - index (typography) , power law , stock market index , stock market , financial market , stock (firearms) , econophysics , long memory , computer science , mathematics , power (physics) , econometrics , business cycle , evolutionary dynamics , economics , statistical physics , finance , statistics , physics , sociology , history , demography , macroeconomics , volatility (finance) , context (archaeology) , archaeology , quantum mechanics , world wide web , population

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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