Analysis of Stock Market Indices with Multidimensional Scaling and Wavelets英文文献资料.docVIP

HindawiPublishingCorporation MathematicalProblemsinEngineering Volume2012,ArticleID819503,14pages doi:10.1155/2012/819503 ResearchArticle AnalysisofStockMarketIndiceswith Multidimensional ScalingandWavelets J.TenreiroMachado, FernandoB.Duarte, 1 2 andGonc?alo MonteiroDuarte 3 1Department ofElectricalEngineering, InstituteofEngineering, 4200-072Porto,Portugal 2FacultyofEngineering andNaturalSciences,LusofonaUniversity,1749-024Lisboa,Portugal 3FacultyofEconomics andManagement, LusofonaUniversity,1749-024Lisboa,Portugal Correspondence shouldbeaddressedtoJ.TenreiroMachado, jtm@isep.ipp.pt Received20January2012;Accepted 12March2012 Academic Editor:KaticaR.StevanovicHedrih Copyright q2012J.TenreiroMachado etal. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction inanymedium,providedtheoriginalworkisproperlycited. Stock market indices SMIs are important measures of ?nancial and economical performance. Considerable researche?ortsduringthelastyearsdemonstrated thatthesesignalshaveachaotic nature and require sophisticated mathematical tools for analyzing their characteristics. Classical methods,suchastheFouriertransform,revealconsiderable limitations indiscriminating di?erent 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 ofthestocksignals. Ina?rstphase, therealShannon wavelet isadopted for performing theevaluation oftheSMIdynamics, whiletheircomparison isvisualized bymeansof theMDS.Inasecondphase,theotherwavelets arealsotested,andthecorresponding MDSplots areanalyzed. 1.Introduction Economical indices measure segments of the stock market and are normally used to benchmarktheperformanceofstockportfolios.Thispaperproposesamethodforanalyzing thecorrelationsembeddedin