Using dynamic mode decomposition to extract cyclic behavior in the stock market

The presence of cyclic expansions and contractions in the economy has been known for over a century. The work reported here searches for similar cyclic behavior in stock valuations. The variations are subtle and can only be extracted through analysis of price variations of a large number of stocks....

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Veröffentlicht in:	Physica A 2016-04, Vol.448, p.172-180
Hauptverfasser:	Hua, Jia-Chen, Roy, Sukesh, McCauley, Joseph L., Gunaratne, Gemunu H.
Format:	Artikel
Sprache:	eng
Schlagworte:	Business cycle Complex system Dynamic mode decomposition Economics Econophysics Evolution Koopman operator Markets Mathematical analysis Phase relationships Raw materials Statistical mechanics Stock markets Time series
Online-Zugang:	Volltext
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