Complex dynamics of financial indices


Autoria(s): Machado, J. A. Tenreiro
Data(s)

06/02/2014

06/02/2014

2013

Resumo

This paper presents a novel method for the analysis of nonlinear financial and economic systems. The modeling approach integrates the classical concepts of state space representation and time series regression. The analytical and numerical scheme leads to a parameter space representation that constitutes a valid alternative to represent the dynamical behavior. The results reveal that business cycles can be clearly revealed, while the noise effects common in financial indices can elegantly be filtered out of the results.

Identificador

DOI 10.1007/s11071-013-0965-x

0924-090X

1573-269X

http://hdl.handle.net/10400.22/3772

Idioma(s)

eng

Publicador

Springer

Relação

Nonlinear Dynamics; Vol. 74, Issues 1-2

http://link.springer.com/article/10.1007%2Fs11071-013-0965-x

Direitos

openAccess

Palavras-Chave #Time series #Complex dynamics #Financial analysis #State space #Trendlines
Tipo

article