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Detecting macroeconomic phases in the Dow Jones Industrial Average time series

หน่วยงาน Nanyang Technological University, Singapore

รายละเอียด

ชื่อเรื่อง : Detecting macroeconomic phases in the Dow Jones Industrial Average time series
นักวิจัย : Wong, Jian Cheng , Lian, Heng , Cheong, Siew Ann
คำค้น : DRNTU::Science::Mathematics::Statistics , DRNTU::Business::Finance::Mathematical finance
หน่วยงาน : Nanyang Technological University, Singapore
ผู้ร่วมงาน : -
ปีพิมพ์ : 2552
อ้างอิง : Wong, J. C., Lian, H., & Cheong, S. A. (2009). Detecting macroeconomic phases in the Dow Jones Industrial Average time series. Physica A, 388, 4635-4645. , 0378-4371 , http://hdl.handle.net/10220/6107 , http://dx.doi.org/10.1016/j.physa.2009.07.029
ที่มา : -
ความเชี่ยวชาญ : -
ความสัมพันธ์ : Physica A
ขอบเขตของเนื้อหา : -
บทคัดย่อ/คำอธิบาย :

In this paper, we perform statistical segmentation and clustering analysis of the Dow Jones Industrial Average (DJI) time series between January 1997 and August 2008. Modeling the index movements and log-index movements as stationary Gaussian processes, we find a total of 116 and 119 statistically stationary segments respectively. These can then be grouped into between five and seven clusters, each representing a different macroeconomic phase. The macroeconomic phases are distinguished primarily by their volatilities. We find that the US economy, as measured by the DJI, spends most of its time in a low-volatility phase and a high-volatility phase. The former can be roughly associated with economic expansion, while the latter contains the economic contraction phase in the standard economic cycle. Both phases are interrupted by a moderate-volatility market correction phase, but extremely-high-volatility market crashes are found mostly within the high-volatility phase. From the temporal distribution of various phases, we see a high-volatility phase from mid-1998 to mid-2003, and another starting mid-2007 (the current global financial crisis).

บรรณานุกรม :
Wong, Jian Cheng , Lian, Heng , Cheong, Siew Ann . (2552). Detecting macroeconomic phases in the Dow Jones Industrial Average time series.
    กรุงเทพมหานคร : Nanyang Technological University, Singapore.
Wong, Jian Cheng , Lian, Heng , Cheong, Siew Ann . 2552. "Detecting macroeconomic phases in the Dow Jones Industrial Average time series".
    กรุงเทพมหานคร : Nanyang Technological University, Singapore.
Wong, Jian Cheng , Lian, Heng , Cheong, Siew Ann . "Detecting macroeconomic phases in the Dow Jones Industrial Average time series."
    กรุงเทพมหานคร : Nanyang Technological University, Singapore, 2552. Print.
Wong, Jian Cheng , Lian, Heng , Cheong, Siew Ann . Detecting macroeconomic phases in the Dow Jones Industrial Average time series. กรุงเทพมหานคร : Nanyang Technological University, Singapore; 2552.