SIMPLE PATTERNS IN FLUCTUATIONS OF TIME SERIES OF ECONOMIC INTEREST

H. Fanchiotti (), C. A. García Canal () and H. García Zúñiga ()
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H. Fanchiotti: Laboratorio de Física Teórica, Departamento de Física, Universidad Nacional de La Plata, C.C. 67 – 1900, La Plata, Argentina
C. A. García Canal: Laboratorio de Física Teórica, Departamento de Física, Universidad Nacional de La Plata, C.C. 67 – 1900, La Plata, Argentina
H. García Zúñiga: Facultad de Ciencias Económicas, Universidad Nacional de La Plata, 6 y 47 – 1900, La Plata, Argentina

International Journal of Modern Physics C (IJMPC), 2001, vol. 12, issue 10, 1485-1495

Abstract: Time series corresponding to nominal exchange rates between the US dollar and Argentina, Brazil and European Economic Community currencies; different financial indexes as the Industrial Dow Jones, the British Footsie, the German DAX Composite, the Australian Share Price and the Nikkei Cash and also different Argentine local tax revenues, are analyzed looking for the appearance of simple patterns and the possible definition of forecast evaluators. In every case, the statistical fractal dimensions are obtained from the behavior of the corresponding variance of increments at a given lag. The detrended fluctuation analysis of the data in terms of the corresponding exponent in the resulting power law is carried out. Finally, the frequency power spectra of all the time series considered are computed and compared

Keywords: Time series; economics; fractal; power law (search for similar items in EconPapers)
Date: 2001
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DOI: 10.1142/S0129183101002814

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