Scaling analysis of time series of daily prices form stock markets of transitional economies in the Western Balkans
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In this paper we have analyzed scaling properties of time series of stock market indices (SMIs) of developing economies of Western Balkans, and have compared the results we have obtained with the results from more developed economies. We have used three different techniques of data analysis to obtain and verify our findings: detrended fluctuation analysis (DFA) method, detrended moving average (DMA) method, and wavelet transformation (WT) analysis. We have found scaling behavior in all SMI data sets that we have analyzed. The scaling of our SMI series changes from long-range correlated to slightly anti-correlated behavior with the change in growth or maturity of the economy the stock market is embedded in. We also report the presence of effects of potential periodic-like influences on the SMI data that we have analyzed. One such influence is visible in all our SMI series, and appears at a period T p ≈ 90 days. We propose that the existence of various periodic-like influences on SMI dat...a may partially explain the observed difference in types of correlated behavior of corresponding scaling functions.
Извор:
The European Physical Journal B (EPJ B), 2014, 87, 297Издавач:
- SpringerOpen
- Società Italiana di Fisica
- EDP Sciences
Финансирање / пројекти:
- Фазни прелази и карактеризација неорганских и органских система (RS-MESTD-Basic Research (BR or ON)-171015)
Институција/група
Fakultet veterinarske medicineTY - JOUR AU - Sarvan, Darko AU - Stratimirović, Đorđe AU - Blesić, Suzana AU - Miljković, Vladimir PY - 2014 UR - https://vet-erinar.vet.bg.ac.rs/handle/123456789/2684 AB - In this paper we have analyzed scaling properties of time series of stock market indices (SMIs) of developing economies of Western Balkans, and have compared the results we have obtained with the results from more developed economies. We have used three different techniques of data analysis to obtain and verify our findings: detrended fluctuation analysis (DFA) method, detrended moving average (DMA) method, and wavelet transformation (WT) analysis. We have found scaling behavior in all SMI data sets that we have analyzed. The scaling of our SMI series changes from long-range correlated to slightly anti-correlated behavior with the change in growth or maturity of the economy the stock market is embedded in. We also report the presence of effects of potential periodic-like influences on the SMI data that we have analyzed. One such influence is visible in all our SMI series, and appears at a period T p ≈ 90 days. We propose that the existence of various periodic-like influences on SMI data may partially explain the observed difference in types of correlated behavior of corresponding scaling functions. PB - SpringerOpen PB - Società Italiana di Fisica PB - EDP Sciences T2 - The European Physical Journal B (EPJ B) T1 - Scaling analysis of time series of daily prices form stock markets of transitional economies in the Western Balkans VL - 87 IS - 297 DO - 10.1140/epjb/e2014-50655-5 ER -
@article{ author = "Sarvan, Darko and Stratimirović, Đorđe and Blesić, Suzana and Miljković, Vladimir", year = "2014", abstract = "In this paper we have analyzed scaling properties of time series of stock market indices (SMIs) of developing economies of Western Balkans, and have compared the results we have obtained with the results from more developed economies. We have used three different techniques of data analysis to obtain and verify our findings: detrended fluctuation analysis (DFA) method, detrended moving average (DMA) method, and wavelet transformation (WT) analysis. We have found scaling behavior in all SMI data sets that we have analyzed. The scaling of our SMI series changes from long-range correlated to slightly anti-correlated behavior with the change in growth or maturity of the economy the stock market is embedded in. We also report the presence of effects of potential periodic-like influences on the SMI data that we have analyzed. One such influence is visible in all our SMI series, and appears at a period T p ≈ 90 days. We propose that the existence of various periodic-like influences on SMI data may partially explain the observed difference in types of correlated behavior of corresponding scaling functions.", publisher = "SpringerOpen, Società Italiana di Fisica, EDP Sciences", journal = "The European Physical Journal B (EPJ B)", title = "Scaling analysis of time series of daily prices form stock markets of transitional economies in the Western Balkans", volume = "87", number = "297", doi = "10.1140/epjb/e2014-50655-5" }
Sarvan, D., Stratimirović, Đ., Blesić, S.,& Miljković, V.. (2014). Scaling analysis of time series of daily prices form stock markets of transitional economies in the Western Balkans. in The European Physical Journal B (EPJ B) SpringerOpen., 87(297). https://doi.org/10.1140/epjb/e2014-50655-5
Sarvan D, Stratimirović Đ, Blesić S, Miljković V. Scaling analysis of time series of daily prices form stock markets of transitional economies in the Western Balkans. in The European Physical Journal B (EPJ B). 2014;87(297). doi:10.1140/epjb/e2014-50655-5 .
Sarvan, Darko, Stratimirović, Đorđe, Blesić, Suzana, Miljković, Vladimir, "Scaling analysis of time series of daily prices form stock markets of transitional economies in the Western Balkans" in The European Physical Journal B (EPJ B), 87, no. 297 (2014), https://doi.org/10.1140/epjb/e2014-50655-5 . .