Dynamics of the Dow Jones and the NASDAQ stock indexes

Fernando B. Duarte (1) , J. A. Tenreiro machado (2) , Gonçalo Monteiro duarte (3)

1 Dept. of Mathematics
2 Dept. of Electrical Engineering
3 Deloitte

The goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indices. We analyze the Dow Jones Industrial Average () and the NASDAQ Composite () indexes at a daily time horizon. The methods and algorithms that have been explored for description of physical phenomena become an effective background, and even inspiration, for very productive methods used in the analysis of economical data. We start by applying the classical concepts of signal analysis, Fourier transform, and methods of fractional calculus. In a second phase we adopt a pseudo phase plane approach.

Mots clés: Pseudo phase plane; Fourier transform; Power law; Fractional calculus

Fernando B. Duarte, J. A. Tenreiro machado, Gonçalo Monteiro duarte. Dynamics of the Dow Jones and the NASDAQ stock indexes. Nonlinear Dynamics, 2010, 61 (4), pp.691-705. ⟨10.1007/s11071-010-9680-z⟩. ⟨hal-00574015⟩