Characterizing price index behavior through fluctuation dynamics

DOI10.1007/978-88-470-2553-0_18MaRDI QIDQ4687387zbMATH OpenOpenAlexFDO

Authors Prasanta K. Panigrahi, Sayantan Ghosh, Arjun Banerjee, Jainendra Bahadur, P. Manimaran

Publication date 11 October 2018

Published in Econophysics of Systemic Risk and Network Dynamics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1205.1711

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Social networks; opinion dynamics (91D30) Statistical methods; risk measures (91G70)

Abstract: We study the nature of fluctuations in variety of price indices involving companies listed on the New York Stock Exchange. The fluctuations at multiple scales are extracted through the use of wavelets belonging to Daubechies basis. The fact that these basis sets satisfy vanishing moments conditions makes them ideal to extract local polynomial trends, through the low pass or `average coefficients'. Subtracting the trends from the original time series yields the fluctuations, at different scales, depending on the level of low-pass coefficients used for finding the `average behavior'. The fluctuations are then studied using wavelet based multifractal detrended fluctuation analysis to analyze their self-similar and non-statistical properties. Due to the multifractality of such time series, they deviate from Gaussian behavior in different frequency regimes. Their departure from random matrix theory predictions in such regimes is also analyzed. These deviations and non-statistical properties of the fluctuations can be instrumental in throwing significant light on the dynamics of financial markets.

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Cites work

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Cited in

(7)

• The identification of price jumps
• UNCERTAINTY IN THE FLUCTUATIONS OF THE PRICE OF STOCKS
• Non-Gaussian statistics of oil pricing time-series: a case study
• Mathematical methods for modelling price fluctuations of financial times series
• Coarse-graining and self-similarity of price fluctuations
• A characterization of the Törnqvist price index
• Determining Harmonic Fluctuations in Food Inflation

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