Skip to main content

A Functional Stochastic Model for the Evolution of Spanish Stock Market

  • Chapter
  • First Online:
  • 1278 Accesses

Part of the book series: Studies in Systems, Decision and Control ((SSDC,volume 142))

Abstract

The study of the evolution of financial series has always been a complex problem because of the nature of stock market series that usually are close to a random walk. The most usual approach has been to apply ARCH and GARCH models, as well as methods that attempt to capture stochastic volatility. In this paper we present an alternative way of approximating this problem, that consists of modeling these series by functional principal components analysis of the financial process up to a certain time frame. The study focused on the Spanish index IBEX35 over a broad period (2007–2013) and, based on continuous market trading, the sample paths were considered integrable square curves. The objective of the work is the estimation of explanatory models for the different bonds as well as the correlation between them.

This is a preview of subscription content, log in via an institution.

Buying options

Chapter
USD   29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD   169.00
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD   219.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book
USD   219.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Learn about institutional subscriptions

References

  1. Aguilera AM, Ocaña FA, Valderrama MJ (1999) Stochastic modelling for evolution of stock-prices by means of functional principal component analysis. Appl Stoch Mod Bus Ind 15(4):227–234

    Article  MATH  Google Scholar 

  2. Aguilera AM, Escabias M, Valderrama MJ (2008) Forecasting binary longitudinal data by a functional PC-ARIMA model. Comput Stat Data Anal 52:3187–3197

    Google Scholar 

  3. Aguilera AM, Escabias M, Valderrama MJ (2008) Discussion of different logistic models with functional data. Application to systemic lupus erythematosus. Comput Stat Data Anal 53:151–163

    Google Scholar 

  4. Besse P, Ramsay JO (1986) Principal component analysis of sampled functions. Psychometrika 51(2):285–311

    Article  MathSciNet  MATH  Google Scholar 

  5. Deville JC (1974) Méthodes statistiques et numériques de l’analyse harmonique. Ann de l’INSEE 15:3–101

    Google Scholar 

  6. Escabias M, Aguilera AM, Valderrama MJ (2005) Modeling environmental data by functional principal component logistic regression. Environmetrics 16:95–107

    Article  MathSciNet  Google Scholar 

  7. Escabias M, Aguilera AM, Valderrama MJ (2007) Functional PLS logit regression model. Comput Stat Data Anal 51:4891–4902

    Article  MathSciNet  MATH  Google Scholar 

  8. Escabias M, Valderrama MJ, Aguilera AM, Santofimia ME, Aguilera-Morillo MC (2013) Stepwise selection of functional covariates in forecasting peak levels of olive pollen. Stoch Environ Res Risk Asses 27(2):367–376

    Article  Google Scholar 

  9. Ferraty F, Vieu P (2006) Nonparametric functional data analysis. Springer, New York

    MATH  Google Scholar 

  10. Ingrassia S, Costanzo GD (2005) Functional principal component analysis of financial time series. In: Vichi M, Monari P, Mignani S, Montanari A (eds) New developments in classification and data analysis. Springer, Berlin

    Google Scholar 

  11. Müller HG (2008) Functional modeling of longitudinal data. In: Fitzmaurice G, Davidian M, Verbeke G, Molenberghs G (eds) Longitudinal data analysis. Handbooks of modern statistical methods. Chapman and Hall/CRC, New York

    Google Scholar 

  12. Ramsay JO, Silverman BW (1997) Functional data analysis. Springer, New York

    Book  MATH  Google Scholar 

  13. Ramsay JO, Silverman BW (2005) Functional data analysis, 2nd edn. Springer, New York

    MATH  Google Scholar 

  14. Saporta G (1985) Data analysis for numerical and categorical individual time-series. Appl Stoch Mod Data Anal 1:109–119

    Article  MATH  Google Scholar 

Download references

Acknowledgements

This research has been supported by project MTM2017-88708-P of Ministerio de Economía y Competitividad, Government of Spain and project P11-FQM-8068 from Consejería de Innovación, Ciencia y Empresa, Junta de Andalucía, Spain. Authors are very grateful for the invitation to participate in this volume that is a tribute to our dear master, colleague and friend Pedro Gil, whose memory will live forever.

Author information

Authors and Affiliations

Authors

Corresponding author

Correspondence to Mariano J. Valderrama .

Editor information

Editors and Affiliations

Rights and permissions

Reprints and permissions

Copyright information

© 2018 Springer International Publishing AG

About this chapter

Check for updates. Verify currency and authenticity via CrossMark

Cite this chapter

Valderrama, M.J., Escabias, M., Galán, F., Gil, A. (2018). A Functional Stochastic Model for the Evolution of Spanish Stock Market. In: Gil, E., Gil, E., Gil, J., Gil, M. (eds) The Mathematics of the Uncertain. Studies in Systems, Decision and Control, vol 142. Springer, Cham. https://doi.org/10.1007/978-3-319-73848-2_39

Download citation

  • DOI: https://doi.org/10.1007/978-3-319-73848-2_39

  • Published:

  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-73847-5

  • Online ISBN: 978-3-319-73848-2

  • eBook Packages: EngineeringEngineering (R0)

Publish with us

Policies and ethics