Complex dynamics of financial indices

被引：28
|
作者：
Tenreiro Machado, J. A. [1 ]
机构：
[1] Polytech Porto, Inst Engn, Dept Elect Engn, Oporto, Portugal
来源：
NONLINEAR DYNAMICS | 2013年 / 74卷 / 1-2期
关键词：
Time series; Complex dynamics; Financial analysis; State space; Trendlines; NUMERICAL DIFFERENTIATION; DIFFERENCE FORMULAS; FOURIER-TRANSFORM; CRISIS; SYSTEM;
D O I：
10.1007/s11071-013-0965-x
中图分类号：
TH [机械、仪表工业];
学科分类号：
0802 ;
摘要：
This paper presents a novel method for the analysis of nonlinear financial and economic systems. The modeling approach integrates the classical concepts of state space representation and time series regression. The analytical and numerical scheme leads to a parameter space representation that constitutes a valid alternative to represent the dynamical behavior. The results reveal that business cycles can be clearly revealed, while the noise effects common in financial indices can elegantly be filtered out of the results.
引用
收藏
页码：287 / 296
页数：10
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