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Abstract
In this paper the problem of cycles existence in capital markets is addressed. A spectral analysis algorithm, which reduces signal-to-noise ratio, is proposed to derive cycle periodograms for the yield function of DJIA, WIG~20, and NIKKEI 225 indices. Peaks of the the periodograms provide premises to postulate the existence of some possible cycles. The 3.5 year periodicity in all 3 indices, which can be related to Kitchin cycle is found to be the most distinctive one.
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- Category:
- Articles
- Type:
- artykuł w czasopiśmie wyróżnionym w JCR
- Published in:
-
ACTA PHYSICA POLONICA A
no. 123,
pages 518 - 521,
ISSN: 0587-4246 - Language:
- English
- Publication year:
- 2013
- Bibliographic description:
- Dyka A., Dudojć P., Garus J.: Spectral Analysis of Capital Markets// ACTA PHYSICA POLONICA A. -Vol. 123, nr. 3 (2013), s.518-521
- Verified by:
- Gdańsk University of Technology
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