Spectral Analysis of Capital Markets

• Authors: A. Dyka , P. Dudojć , J. Garus
• 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

EN

89.65.Gh; 02.30.Nw; 02.60.Ed; 89.90.+n

Discipline

• 02.30.Nw: Fourier analysis
• 89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)
• 89.90.+n: Other topics in areas of applied and interdisciplinary physics (restricted to new topics in section 89)
• 02.60.Ed: Interpolation; curve fitting

• Publisher: Institute of Physics, Polish Academy of Sciences
• Journal: Acta Physica Polonica A
• Year: 2013
• Volume: 123
• Issue: 3
• Pages: 518-521

Dates

published

2013-03

Contributors

author

A. Dyka

• Gdańsk University of Technology, G. Narutowicza 11/12, 80-233 Gdańsk, Poland

author

P. Dudojć

• Gdańsk University of Technology, G. Narutowicza 11/12, 80-233 Gdańsk, Poland

author

J. Garus

• Gdańsk University of Technology, G. Narutowicza 11/12, 80-233 Gdańsk, Poland

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

Identifiers

DOI

10.12693/APhysPolA.123.518