- Tytuł:
- Spectral Analysis of Capital Markets
- Autorzy:
-
Dyka, A.
Dudojć, P.
Garus, J. - Powiązania:
- https://bibliotekanauki.pl/articles/1400167.pdf
- Data publikacji:
- 2013-03
- Wydawca:
- Polska Akademia Nauk. Instytut Fizyki PAN
- Tematy:
-
89.65.Gh
02.30.Nw
02.60.Ed
89.90.+n - Opis:
- 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.
- Źródło:
-
Acta Physica Polonica A; 2013, 123, 3; 518-521
0587-4246
1898-794X - Pojawia się w:
- Acta Physica Polonica A
- Dostawca treści:
- Biblioteka Nauki
Artykuł