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Analysis of financial indices by means of the windowed Fourier transform

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Abstract

The goal of this study is to analyze the dynamical properties of financial data series from nineteen worldwide stock market indices (SMI) during the period 1995–2009. SMI reveal a complex behavior that can be explored since it is available a considerable volume of data. In this paper is applied the window Fourier transform and methods of fractional calculus. The results reveal classification patterns typical of fractional order systems.

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Authors and Affiliations

  1. Department of Electrical Engineering, Institute of Engineering, Porto, Portugal

    J. Tenreiro Machado

  2. Faculty of Engineering and Natural Sciences, Lusofona University, Lisboa, Portugal

    Fernando B. Duarte

  3. Lusofona University, Lisboa, Portugal

    Gonçalo Monteiro Duarte

Authors
  1. J. Tenreiro Machado
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  2. Fernando B. Duarte
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  3. Gonçalo Monteiro Duarte
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Correspondence to J. Tenreiro Machado.

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Machado, J.T., Duarte, F.B. & Duarte, G.M. Analysis of financial indices by means of the windowed Fourier transform. SIViP 6, 487–494 (2012). https://doi.org/10.1007/s11760-012-0331-3

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  • DOI: https://doi.org/10.1007/s11760-012-0331-3

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