Analysis of stock market data by using Dynamic Fourier and Wavelets techniques

Maria C. Mariani, Md Al Masum Bhuiyan, Osei K. Tweneboah, Maria P. Beccar-Varela, Ionut Florescu

Research output: Contribution to journalArticle

Abstract

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.

Original languageEnglish (US)
Article number122785
JournalPhysica A: Statistical Mechanics and its Applications
Volume537
DOIs
StatePublished - Jan 1 2020

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Stock Market
Power Spectrum
power spectra
Wavelets
Fourier transform
Tapering
Financial Risk
Stationary Time Series
decision making
Scaling Function
estimates
Financial Markets
tapering
Leakage
wavelet analysis
Estimate
Wavelet Transform
Discontinuity
discontinuity
leakage

All Science Journal Classification (ASJC) codes

  • Condensed Matter Physics
  • Statistics and Probability

Cite this

Mariani, Maria C. ; Bhuiyan, Md Al Masum ; Tweneboah, Osei K. ; Beccar-Varela, Maria P. ; Florescu, Ionut. / Analysis of stock market data by using Dynamic Fourier and Wavelets techniques. In: Physica A: Statistical Mechanics and its Applications. 2020 ; Vol. 537.
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Analysis of stock market data by using Dynamic Fourier and Wavelets techniques. / Mariani, Maria C.; Bhuiyan, Md Al Masum; Tweneboah, Osei K.; Beccar-Varela, Maria P.; Florescu, Ionut.

In: Physica A: Statistical Mechanics and its Applications, Vol. 537, 122785, 01.01.2020.

Research output: Contribution to journalArticle

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