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PERIODIC COMPONENTS AND CHARACTERISTIC TIME SCALES IN THE FINANCIAL MARKET

CHUNXIA YANG

School of Information and Control, Nanjing University of Information Science and Technology, Nanjing, 210044, China

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HONGFA WU

School of Information and Control, Nanjing University of Information Science and Technology, Nanjing, 210044, China

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, and

YINGCHAO ZHANG

School of Information and Control, Nanjing University of Information Science and Technology, Nanjing, 210044, China

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https://doi.org/10.1142/S0217984908017151Cited by:3 (Source: Crossref)

Abstract

Based on six large empirical data sets, the financial data sequences are decomposed by Empirical Mode Decomposition (EMD) into various quasi-periodic fluctuation modes, including weekly, half-month, seasonal, about-four-years and so on, which may indicate some abnormal return oscillation patterns. The corresponding average periods are calculated by Fast Fourier Transform Algorithm (FFT), about 6 days for the weekly, about 10 days for the half-month, about 60 days for the seasonal and 1020 days or so for the about-four-years. These obtained results show that the mode periods may be universal for different markets.

Keywords:

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