Relative fractional dynamics of stock markets

• Type: Article in International Scientific Journal
• Date: 2016

Authors

Tenreiro Machado, JAT (Author) Other; António Mendes Lopes (Author) FEUP

Journal

Title: Nonlinear Dynamics

Vol. 86

Pages: 1613-1619

ISSN: 0924-090X

Publisher: Springer Nature

Indexing

ISI Web of Knowledge - 42 Citations

Scopus - 50 Citations

Other information

Authenticus ID: P-00K-PXD

DOI: 10.1007/s11071-016-2980-1

Abstract (EN): This paper analyses motion of stock markets (SM) in the perspective of fractional calculus and introduces the concept of relative fractional dynamics. The SM are characterized by long-range correlations and persistent memory. These features are found in natural and artificial systems and are well modelled by means of the tools of fractional calculus. The time series of daily closing prices of 11 SM for the period 9 July 1987 to 22 April 2016 are interpreted as motion trajectories and their distances analysed through the Fourier transform. The amplitude spectra are approximated by power law functions, characterizing the relative motion of the financial indices and their slow tendency to synchronize.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 7