Analysis of financial indices by means of the windowed Fourier transform

نویسندگان

  • José António Tenreiro Machado
  • Fernando B. Duarte
  • Gonçalo Monteiro Duarte
چکیده

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.

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عنوان ژورنال:
  • Signal, Image and Video Processing

دوره 6  شماره 

صفحات  -

تاریخ انتشار 2012