Identifying economic periods and crisis with the multidimensional scaling
| Autor: | Gonçalo Monteiro Duarte, J. A. Tenreiro Machado, Fernando B. Duarte |
|---|---|
| Přispěvatelé: | Repositório Científico do Instituto Politécnico do Porto |
| Jazyk: | angličtina |
| Rok vydání: | 2011 |
| Předmět: |
Actuarial science
Economic expansion Applied Mathematics Mechanical Engineering Fractional calculus Aerospace Engineering Ocean Engineering Stock market index symbols.namesake Fourier transform Economic cycle Control and Systems Engineering Econometrics symbols Business cycle A priori and a posteriori Multidimensional scaling Electrical and Electronic Engineering Stock (geology) Mathematics |
| Zdroj: | Repositório Científico de Acesso Aberto de Portugal Repositório Científico de Acesso Aberto de Portugal (RCAAP) instacron:RCAAP |
| Popis: | This paper applied MDS and Fourier transform to analyze different periods of the business cycle. With such purpose, four important stock market indexes (Dow Jones, Nasdaq, NYSE, S&P500) were studied over time. The analysis under the lens of the Fourier transform showed that the indexes have characteristics similar to those of fractional noise. By the other side, the analysis under the MDS lens identified patterns in the stock markets specific to each economic expansion period. Although the identification of patterns characteristic to each expansion period is interesting to practitioners (even if only in a posteriori fashion), further research should explore the meaning of such regularities and target to find a method to estimate future crisis. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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