Analysis of stock market indices through multidimensional scaling

We propose a graphical method to visualize possible time-varying correlations between fifteen stock market values. The method is useful for observing stable or emerging clusters of stock markets with similar behaviour. The graphs, originated from applying multidimensional scaling techniques (MDS), may also guide the construction of multivariate econometric models.

Fractional dynamics of a system with particles subjected to impacts

This paper studies the dynamics of a system composed of a collection of particles that exhibit collisions between them. Several entropy measures and different impact conditions of the particles are tested. The results reveal a Power Law evolution both of the system energy and the entropy measures, typical in systems having fractional dynamics.

Analysis of financial data series using fractional Fourier transform and multidimensional scaling

The goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indexes during the period 2000–2009. We analyze, under a regional criterium, ten main indexes at a daily time horizon. The methods and algorithms that have been explored for the description of dynamical phenomena become an effective background in the analysis of economical data. We start by applying the classical concepts of signal analysis, fractional Fourier transform, and methods of fractional calculus. In a second phase we adopt the multidimensional scaling approach. Stock market indexes are examples of complex interacting systems for which a huge amount of data exists. Therefore, these indexes, viewed from a different perspectives, lead to new classification patterns.

Identifying economic periods and crisis with the multidimensional scaling

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.

Multidimensional scaling analysis of electricity market prices

This paper studies the impact of energy and stock markets upon electricity markets using Multidimensional Scaling (MDS). Historical values from major energy, stock and electricity markets are adopted. To analyze the data several graphs produced by MDS are presented and discussed. This method is useful to have a deeper insight into the behavior and the correlation of the markets. The results may also guide the construction models, helping electricity markets agents hedging against Market Clearing Price (MCP) volatility and, simultaneously, to achieve better financial results.

Intrinsic fractal dynamics in the respiratory system by means of pressure-volume loops

This contribution presents novel concepts for analysis of pressure–volume curves, which offer information about the time domain dynamics of the respiratory system. The aim is to verify whether a mapping of the respiratory diseases can be obtained, allowing analysis of (dis)similarities between the dynamical pattern in the breathing in children. The groups investigated here are children, diagnosed as healthy, asthmatic, and cystic fibrosis. The pressure–volume curves have been measured by means of the noninvasive forced oscillation technique during breathing at rest. The geometrical fractal dimension is extracted from the pressure–volume curves and a power-law behavior is observed in the data. The power-law model coefficients are identified from the three sets and the results show that significant differences are present between the groups. This conclusion supports the idea that the respiratory system changes with disease in terms of airway geometry, tissue parameters, leading in turn to variations in the fractal dimension of the respiratory tree and its dynamics.

Fractional analysis of traffic dynamics

This article presents a dynamical analysis of several traffic phenomena, applying a new modelling formalism based on the embedding of statistics and Laplace transform. The new dynamic description integrates the concepts of fractional calculus leading to a more natural treatment of the continuum of the Transfer Function parameters intrinsic in this system. The results using system theory tools point out that it is possible to study traffic systems, taking advantage of the knowledge gathered with automatic control algorithms. Dynamics, Games and Science I Dynamics, Games and Science I Look Inside Other actions Export citation About this Book Reprints and Permissions Add to Papers Share Share this content on Facebook Share this content on Twitter Share this content on LinkedIn

Control and dynamics of fractional order systems

Fractional Calculus (FC) goes back to the beginning of the theory of differential calculus. Nevertheless, the application of FC just emerged in the last two decades due to the progress in the area of nonlinear dynamics. This article discusses several applications of fractional calculus in science and engineering, namely: the control of heat systems, the tuning of PID controllers based on fractional calculus concepts and the dynamics in hexapod locomotion.

Market of resources for virtual enterprise integration

Most definitions of virtual enterprise (VE) incorporate the idea of extended and collaborative outsourcing to suppliers and subcontractors in order to achieve a competitive response to market demands (Webster, Sugden, & Tayles, 2004). As suggested by several authors (Browne & Zhang, 1999; Byrne, 1993; Camarinha-Matos & Afsarmanesh, 1999; Cunha, Putnik, & Ávila, 2000; Davidow & Malone, 1992; Preiss, Goldman, & Nagel, 1996), a VE consists of a network of independent enterprises (resources providers) with reconfiguration capability in useful time, permanently aligned with the market requirements, created to take profit from a specific market opportunity, and where each participant contributes with its best practices and core competencies to the success and competitiveness of the structure as a whole. Even during the operation phase of the VE, the configuration can change, to assure business alignment with the market demands, traduced by the identification of reconfiguration opportunities and continuous readjustment or reconfiguration of the VE network, to meet unexpected situations or to keep permanent competitiveness and maximum performance (Cunha & Putnik, 2002, 2005a, 2005b).

Persistence characteristics in financial prices: evidence from the portuguese stock market returns

The objective of this article is to provide additional knowledge to the discussion of long-term memory, leaning over the behavior of the main Portuguese stock index. The first four moments are calculated using time windows of increasing size and sliding time windows of fixed size equal to 50 days and suggest that daily returns are non-ergodic and non-stationary. Seeming that the series is best described by a fractional Brownian motion approach, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA). The findings indicate evidence of long term memory in the form of persistence. This evidence of fractal structure suggests that the market is subject to greater predictability and contradicts the efficient market hypothesis in its weak form. This raises issues regarding theoretical modeling of asset pricing. In addition, we carried out a more localized (in time) study to identify the evolution of the degree of long-term dependency over time using windows 200-days and 400-days. The results show a switching feature in the index, from persistent to anti-persistent, quite evident from 2010.

Licensing in an international market

We study the effects of entry of a foreign firm on domestic welfare in the presence of licensing, when the entrant is technologically superior to the incumbent. We show that foreign entry increases domestic welfare for sufficiently large technological differences between the firms under both fixed-fee licensing and royalty licensing.

Long-term dependence in financial prices: evidence from the Belgian stock market returns

This article aims to contribute to the discussion of long-term dependence, focusing on the behavior of the main Belgian stock index. Non-parametric analyzes of the general characteristics of temporal frequency show that daily returns are non-ergodic and non-stationary. Therefore, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA), under the fractional Brownian motion approach, and we found slight evidence of long-term dependence. These results refute the random walk hypothesis with i.i.d. increments, which is the basis of the EMH in its weak form, and call into question some theoretical modeling of asset pricing. Other more localized complementary study, to identify the evolution of the degree of dependence over time windows, showed that the index has become less persistent from 2010. This may mean a maturing market by the extension of the effects of current financial crisis.

Complex dynamics in the trajectory control of redundant manipulators

Redundant manipulators allow the trajectory optimization, the obstacle avoidance, and the resolution of singularities. For this type of manipulators, the kinematic control algorithms adopt generalized inverse matrices that may lead to unpredictable responses. Motivated by these problems this paper studies the complexity revealed by the trajectory planning scheme when controlling redundant manipulators. The results reveal fundamental properties of the chaotic phenomena and give a deeper insight towards the development of superior trajectory control algorithms.

Fractional dynamics in the trajectory control of redundant manipulators

Under the pseudoinverse control, robots with kinematical redundancy exhibit an undesirable chaotic joint motion which leads to an erratic behavior. This paper studies the complexity of fractional dynamics of the chaotic response. Fourier and wavelet analysis provides a deeper insight, helpful to know better the lack of repeatability problem of redundant manipulators. This perspective for the study of the chaotic phenomena will permit the development of superior trajectory control algorithms.

Simulation and dynamics of freeway traffic

This paper presents the new package entitled Simulator of Intelligent Transportation Systems (SITS) and a computational oriented analysis of traffic dynamics. The SITS adopts a microscopic simulation approach to reproduce real traffic conditions considering different types of vehicles, drivers and roads. A set of experiments with the SITS reveal the dynamic phenomena exhibited by this kind of system. For this purpose a modelling formalism is developed that embeds the statistics and the Laplace transform. The results make possible the adoption of classical system theory tools and point out that it is possible to study traffic systems taking advantage of the knowledge gathered with automatic control algorithms. A complementary perspective for the analysis of the traffic flow is also quantified through the entropy measure.