TY - JOUR
T1 - Analysis of stock market data by using Dynamic Fourier and Wavelets techniques
AU - Mariani, Maria C.
AU - Bhuiyan, Md Al Masum
AU - Tweneboah, Osei K.
AU - Beccar-Varela, Maria P.
AU - Florescu, Ionut
N1 - Publisher Copyright:
© 2019
PY - 2020/1/1
Y1 - 2020/1/1
N2 - This work deals with the analysis of daily and minute sampled financial stock market data. We propose a Dynamic Fourier Transform (DFT) and a Wavelet Transform to estimate the power spectrum of returns. In order to estimate the power spectrum, we used the tapering process with the DFT technique and the scaling function with the wavelets methodology to avoid the spectral leakage or discontinuity in the sequence. Our result suggest that the power spectrum are effective in characterizing the minute and daily based data corresponding to different frequencies. This type of modeling techniques help to characterize some key variables of stationary time series that are very useful for making informed decisions in the stock market such as assessing financial risk in the market.
AB - This work deals with the analysis of daily and minute sampled financial stock market data. We propose a Dynamic Fourier Transform (DFT) and a Wavelet Transform to estimate the power spectrum of returns. In order to estimate the power spectrum, we used the tapering process with the DFT technique and the scaling function with the wavelets methodology to avoid the spectral leakage or discontinuity in the sequence. Our result suggest that the power spectrum are effective in characterizing the minute and daily based data corresponding to different frequencies. This type of modeling techniques help to characterize some key variables of stationary time series that are very useful for making informed decisions in the stock market such as assessing financial risk in the market.
KW - Dynamic Fourier Transform
KW - Financial time series
KW - Power spectrum
KW - Stock market
KW - Wavelets
UR - http://www.scopus.com/inward/record.url?scp=85072575785&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85072575785&partnerID=8YFLogxK
U2 - 10.1016/j.physa.2019.122785
DO - 10.1016/j.physa.2019.122785
M3 - Article
AN - SCOPUS:85072575785
SN - 0378-4371
VL - 537
JO - Physica A: Statistical Mechanics and its Applications
JF - Physica A: Statistical Mechanics and its Applications
M1 - 122785
ER -