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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Panigrahi, P.K., Ghosh, S., Manimaran, P., Ahalpara, D.P. (2010). Statistical Properties of Fluctuations: A Method to Check Market Behavior. In: Basu, B., Chakravarty, S.R., Chakrabarti, B.K., Gangopadhyay, K. (eds) Econophysics and Economics of Games, Social Choices and Quantitative Techniques. New Economic Windows. Springer, Milano. https://doi.org/10.1007/978-88-470-1501-2_13
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DOI: https://doi.org/10.1007/978-88-470-1501-2_13
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