Analysis of financial indices by means of the windowed Fourier transform

Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.22/3786

Título:	Analysis of financial indices by means of the windowed Fourier transform
Autor:	Machado, J. A. Tenreiro Duarte, Fernando B. Duarte, Gonçalo Monteiro
Palavras-chave:	Fourier transform Windowed Fourier transform Power law Dynamics
Data:	2012
Editora:	Springer
Relatório da Série N.º:	Signal, Image and Video Processing; Vol. 6, Issue 3
Resumo:	The goal of this study is to analyze the dynamical properties of financial data series from nineteen worldwide stock market indices (SMI) during the period 1995–2009. SMI reveal a complex behavior that can be explored since it is available a considerable volume of data. In this paper is applied the window Fourier transform and methods of fractional calculus. The results reveal classification patterns typical of fractional order systems.
Peer review:	yes
URI:	http://hdl.handle.net/10400.22/3786
DOI:	10.1007/s11760-012-0331-3
ISSN:	1863-1703 1863-1711
Versão do Editor:	http://link.springer.com/article/10.1007%2Fs11760-012-0331-3
Aparece nas colecções:	ISEP - DEE - Artigos

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