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2013 | 123 | 3 | 518-521
Article title

Spectral Analysis of Capital Markets

Content
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Languages of publication
EN
Abstracts
EN
In this paper the problem of cycles existence in capital markets is addressed. A spectral analysis algorithm, which reduces signal-to-noise ratio, is proposed to derive cycle periodograms for the yield function of DJIA, WIG 20, and NIKKEI 225 indices. Peaks of the the periodograms provide premises to postulate the existence of some possible cycles. The 3.5 year periodicity in all 3 indices, which can be related to the Kitchin cycle is found to be the most distinctive one.
Keywords
Year
Volume
123
Issue
3
Pages
518-521
Physical description
Dates
published
2013-03
References
  • [1] A. Iacobucci, in: New Tools of Economics Dynamics, Eds. J. Leskow, L.F. Punzo, M.P. Anyul, Springer, Berlin 2005, p. 203
  • [2] P. Stoica, Introduction to Spectral Analysis, Prentice Hall, Upper Saddle River 1997
  • [3] A.V. Korotayev, S.V. Tsirel, Structure and Dynamics 4, 3 (2010)
  • [4] J. Kitchin, Rev. Econom. Statist. 5, 10 (1923)
  • [5] R.A. Gabel, Signals and Linear Systems, John Wiley and Sons, New York 1973
  • [6] P.A. Lynn, An Introduction to the Analysis and Processing of Signals, Halsted Press, New York 1973
  • [7] R. Bracewell, The Fourier Transform and Its Applications, McGraw-Hill, New York 1965
  • [8] DJIA quotations: http://www.research.stlouisfed.org
  • [9] WIG 20 quotations: http://www.bossa.pl
  • [10] NIKKEI 225 quotations: http://www.finance.yahoo.com
Document Type
Publication order reference
YADDA identifier
bwmeta1.element.bwnjournal-article-appv123n305kz
Identifiers
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