Complex dynamics of financial indices

被引：0
|
作者：
J. A. Tenreiro Machado
机构：
[1] Institute of Engineering,Dept. Electrical Engineering
[2] Polytechnic of Porto,undefined
来源：
Nonlinear Dynamics | 2013年 / 74卷
关键词：
Time series; Complex dynamics; Financial analysis; State space; Trendlines;
D O I：
暂无
中图分类号：
学科分类号：
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：9
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