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Spectral analysis of capital markets

Andrzej S. Dyka 1,  Piotr J. Dudojć 

1. Gdansk University of Technology (PG), Narutowicza 11/12, Gdańsk 80-952, Poland

Abstract
There is a lot f controversy upon assumption that capital markets show any kind of periodicity. This contribution addresses this problem. In order to identify a periodicity the following procedure has been carried out.

1.  Logarithm of the quotation is multiplied by the moving window of the width 4*n, where n is a natural number. As a result one obtains a number of quotation fragments of the length 4*n.

2.  The said fragments are added (averaged) thus reducing signal-to-noise ratio. Consequently, the mean value from the  result is subtracted.

3.  For the above result the first harmonic of the triangular Fourier expansion is computed for every value of n.

This procedure has been applied to DJIA index, starting from 1896 to December 30, 2011.

A number of periodicity peaks have been identified, among them the strong one , which corresponds to 10 year cycle.

Extended analysis and cycle validation will be presented at the symposium.

 

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Presentation: Oral at 6 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Andrzej S. Dyka
See On-line Journal of 6 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Submitted: 2012-01-21 18:16
Revised:   2012-01-21 18:16