Analysis of stock market indices with multidimensional scaling and wavelets
type: Item
instance of: scholarly article
title: Analysis of stock market indices with multidimensional scaling and wavelets
zbMATH Open document ID: 1264.91095
DOI: 10.1155/2012/819503
author: Fernando B. M. Duarte
author: Gonçalo Monteiro Duarte
author: José A. Tenreiro Machado
published in: Mathematical Problems in Engineering
publication date: 2013-06-11T00:00:00Z
review text: Summary: Stock market indices (SMIs) are important measures of financial and economical performance. Considerable research efforts during the last years demonstrated that these signals have a chaotic nature and require sophisticated mathematical tools for analyzing their characteristics. Classical methods, such as the Fourier transform, reveal considerable limitations in discriminating different periods of time. This paper studies the dynamics of SMI by combining the wavelet transform and the multidimensional scaling (MDS). Six continuous wavelets are tested for analyzing the information content of the stock signals. In a first phase, the real Shannon wavelet is adopted for performing the evaluation of the SMI dynamics, while their comparison is visualized by means of the MDS. In a second phase, the other wavelets are also tested, and the corresponding MDS plots are analyzed.
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6173605
Wikidata QID: Q58912091
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2012/819503
OpenAlex ID: W2150607749
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description: scientific article; zbMATH DE number 6173605