Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets

Dimitri Ledenyov and Viktor Ledenyov

MPRA Paper from University Library of Munich, Germany

Abstract: This research represents some thoughts on the accurate characterization of the stock market indexes trends in the conditions of the nonlinear capital flows at the stock exchanges in the global capital markets. We make our original research proposal that the nonlinear capital flows in the process of the electronic trading can originate the nonlinear changes of the stock market indexes at the stock exchanges in the global capital markets. We suggest that the econophysics techniques can be used to precisely characterize the nonlinearities in the finances. We performed the research of the nonlinearities in Matlab, researching: 1) the ideal dependence of the stock market index over the time, 2) the linear dependence of the stock market index over the time, 3) the quadratic dependence of the stock market index over the time, 2) the exponential dependence of the stock market index over the time. We researched the following indexes: 1) The Dow Jones Industrial Average (DJIA) index; 2) The Standard and Poor’s 500 (S&P 500) index; 3) The NYSE Composite index; 4) The Hong Kong Hang Seng index; 5) The Shanghai Composite index; 6) The Financial Times Securities Exchange (FTSE100) index; 7) The Deutscher Aktienindex (DAX) index; 8) The Nikkei 225 Stock Average index over the certain time periods. The selected time periods were: 6 months; 12 months; 24 months. We assumed that, in every considered case, there are the complex changes of the company valuation, foreign exchange rates, interest rates, prices of strategic commodities over the specified time period. We found that there are the nonlinearities in the characteristic dependences of the stock exchanges indexes on the time. Our research results are in a good agreement with the research findings in Abhyankar, Copeland, Wong (1995, 1997), however the multiple evidences of quantum chaos were found in the researched stock market indexes dependences for the first time.

Keywords: stock exchange; stock indexes trends analysis; nonlinear capital flows at stock exchanges; financial securities market; global capital market; share price volatility; foreign exchange rates; interest rates; prices of strategic commodities; return on investments; equity premium; investment portfolio; econophysics; econometrics; integrative thinking. (search for similar items in EconPapers)
JEL-codes: C1 C13 C16 C4 C43 C46 C6 C61 C63 C8 C87 G12 G17 (search for similar items in EconPapers)
Date: 2013-09-18
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/49921/1/MPRA_paper_49921.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/49964/8/MPRA_paper_49964.pdf revised version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:49921

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().