Open AccessMechanical Analysis of the S&P 500 Index Time Series
Author(s) -
Zoran Rajilić,
Nikola Stupar,
Dragana Malivuk Gak
Publication year - 2021
Publication title -
journal of physics. conference series
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.21
H-Index - 85
eISSN - 1742-6596
pISSN - 1742-6588
DOI - 10.1088/1742-6596/1814/1/012004
Subject(s) - predictability , series (stratigraphy) , time series , nonlinear system , stock market index , index (typography) , mathematics , stock market , statistical physics , econometrics , physics , statistics , computer science , geology , horse , quantum mechanics , world wide web , paleontology
Daily values of the stock market index S&P 500 are considered as a coordinate of an oscillating particle in discrete time. These driven nonlinear oscillations are occasionally damped, amplified and unstable. Large changes of the coordinate are usually preceded by exceptional values of the acting force parameters. Therefore, mechanical analysis enables an estimation of the risk of stock market crash. In order to better understand the problem of predictability, we have considered some artificial time series with combination of chaos and stochasticity, generated by the appropriate differential equation of motion. We indeed can roughly predict the second half of the time series, with low enough level of stochasticity, if we know the first half of the series.