Analysis of cyclical behavior in time series of stock market returns

DOI10.1016/J.CNSNS.2017.05.009OpenAlexW916173959MaRDI QIDQ2204786

Vladimir Miljković, Djordje Stratimirović, Suzana Blesić, Darko Sarvan

Publication date: 16 October 2020

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.03378

zbMATH Keywords

wavelet analysisstock market returnsdetrended moving average analysisdevelopment Index

Mathematics Subject Classification ID

Economic time series analysis (91B84) Dynamics of random walks, random surfaces, lattice animals, etc. in time-dependent statistical mechanics (82C41)

Related Items (1)

Multivariate multiscale complexity-entropy causality plane analysis for complex time series

Cites Work

• Wavelet-based analysis of human blood-flow dynamics
• Scaling behaviors in differently developed markets
• Multi-scaling in finance
• Decomposition of Hardy Functions into Square Integrable Wavelets of Constant Shape
• Singularity detection and processing with wavelets
• Wavelet spectra compared to Fourier spectra
• Dangers of data mining: The case of calendar effects in stock returns

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