Damped oscillations in the ratios of stock market indices

NCU Institutional Repository > 理學院 > 物理學系 > 期刊論文 > Item 987654321/104459

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: https://ir.lib.ncu.edu.tw/handle/987654321/104459

题名:	Damped oscillations in the ratios of stock market indices
作者:	吳明佳;Wu, Ming-Chya
贡献者:	理學院物理學系
关键词:	05.40.Fb;05.45.Tp;89.65.Gh;General Physics and Astronomy
日期:	2012-02-01
上传时间:	2026-04-23 11:50:39 (UTC+8)
出版者:	EPS, SIF, EDP Sciences and IOP Publishing
摘要:	摘要： A stock market index is an average of a group of stock prices with weights. Different stock market indices derived from various combinations of stocks may share similar trends in certain periods, while it is not expected that there are fixed relations among them. Here we report our investigations on the daily index data of Dow Jones Industry Average (DJIA), NASDAQ, and S&P500 from 1971/02/05 to 2011/06/30. By analyzing the index ratios using the empirical mode decomposition, we find that the ratios NASDAQ/DJIA and S&500/DJIA, normalized to 1971/02/05, approached and then retained the values of 2 and 1, respectively. The temporal variations of the ratios consist of global trends and oscillatory components including a damped oscillation in 8-year cycle and damping factors of 7183 days (NASDAQ/DJIA) and 138471 days (S&P500/DJIA). Anomalies in the ratios, corresponding to significant increases and decreases of indices, only appear in the time scale less than an 8-year cycle. Detrended fluctuation analysis and multiscale entropy analysis of the components with cycles less than a half-year manifest a behavior of self-adjustment in the ratios, and the behavior in S&500/DJIA is more significant than in NASDAQ/DJIA. 出版者： EPS, SIF, EDP Sciences and IOP Publishing 出版日期： 2012-02 出處： EPL (Europhysics Letters), 2012-02, Vol.97 (4), p.48009- 資源來源： Institute of Physics Journals 識別號： ISSN: 0295-5075 識別號： EISSN: 1286-4854 識別號： DOI: 10.1209/0295-5075/97/48009
显示于类别:	[物理學系] 期刊論文

文件中的档案:

档案	描述	大小	格式	浏览次数
index.html		0Kb	HTML	17	检视/开启

在NCUIR中所有的数据项都受到原著作权保护.

社群 sharing

数据加载中.....