Power law analysis of financial index dynamics

DOI10.1155/2012/120518MaRDI QIDQ714204zbMATH OpenOpenAlexWikidataFDO

Authors Gonçalo Monteiro Duarte, José A. Tenreiro Machado, Fernando B. M. Duarte

Publication date 19 October 2012

Published in Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2012/120518

zbMATH Keywords

power law analysisstock market indices

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84) Fractional derivatives and integrals (26A33) Economic growth models (91B62)

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Cites work

• scientific article; zbMATH DE number 194544 (Why is no real title available?)
• Analysis of stock market indices with multidimensional scaling and wavelets
• Dynamics of the dow Jones and the NASDAQ stock indexes

Cited in

(12)

• Macroeconomic models with long dynamic memory: fractional calculus approach
• Comparison principles for Hadamard-type fractional differential equations
• Comparison theorems for Caputo-Hadamard fractional differential equations
• Multi-objective active control policy design for commensurate and incommensurate fractional order chaotic financial systems
• Fractional Deterministic Factor Analysis of Economic Processes with Memory and Nonlocality
• Power law and entropy analysis of catastrophic phenomena
• Logistic map with memory from economic model
• A fractional perspective to financial indices
• scientific article; zbMATH DE number 5082553 (Why is no real title available?)
• Herd behavior and financial crashes: an interacting particle system approach
• Dynamics of the dow Jones and the NASDAQ stock indexes
• Long-range power-law correlations in stock returns

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