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Dynamics of the dow Jones and the NASDAQ stock indexes. (English) Zbl 1204.91110

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 \(( \land DJI)\) and the NASDAQ Composite \((\land IXIC)\) 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.

MSC:

91B84 Economic time series analysis
91B55 Economic dynamics
26A33 Fractional derivatives and integrals
94A11 Application of orthogonal and other special functions
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References:

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