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Statistical Properties of Fluctuations: A Method to Check Market Behavior

  • Prasanta K. Panigrahi
  • Sayantan Ghosh
  • P. Manimaran
  • Dilip P. Ahalpara
Part of the New Economic Windows book series (NEW)

Abstract

We analyze the Bombay Stock Exchange (BSE) price index over the period of last 12 years. Keeping in mind the large fluctuations in last few years, we carefully find out the transient, non-statistical and locally structured variations. For that purpose, we make use of Daubechies wavelet and characterize the fractal behavior of the returns using a recently developed wavelet based fluctuation analysis method. the returns show a fat-tail distribution as also weak non-statistical behavior. We have also carried out continuous wavelet as well as Fourier power spectral analysis to characterize the periodic nature and correlation properties of the time series.

Keywords

Discrete Wavelet Transform Continuous Wavelet Transform Detrended Fluctuation Analysis Morlet Wavelet Daubechies Wavelet 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Italia 2010

Authors and Affiliations

  • Prasanta K. Panigrahi
    • 1
    • 2
  • Sayantan Ghosh
    • 3
  • P. Manimaran
    • 4
  • Dilip P. Ahalpara
    • 5
  1. 1.Indian Institute of Science Education and Research (Kolkata)Salt Lake City, KolkataIndia
  2. 2.Physical Research LaboratoryAhmedabadIndia
  3. 3.The Insitute of Mathematical SciencesChennaiIndia
  4. 4.Centre for Mathematical SciencesC. R. Rao Advanced Institute of Mathematics, Statistics and Computer ScienceHyderabadIndia
  5. 5.The Institute for Plasma ResearchGandhinagarIndia

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