Mathematical methods for modelling price fluctuations of financial times series |
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| Authors: | P Manchanda J Kumar |
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| Institution: | a Department of Mathematics, Gurunanak Dev University, Amritsar, India
b Department of Mathematical Sciences, King Fahd University of Petroleum and Minerals, Dhahran 31261, Saudi Arabia |
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| Abstract: | Statistical and Fourier analysis methods of time series representing fluctuations of stock market in general and Indian stock markets in particular are well known. This work is motivated by a recent paper by Guharay Operations Research and Financial Engineering, Princeton University, Princeton, NJ, preprint, 2002] where he has studied trends in the S & P 500 for various time periods using wavelet tools. Our paper deals with a few Indian and Saudi stock prices and return fluctuation for a certain period of time. The main objective of the analysis is to understand the dynamics of the Indian and Saudi stock markets. We look for similarities, point of abrupt changes, normalized data, return, volatility, graph, pure and noise part, correlation lengths, and signal-to-noise ratio. |
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| Keywords: | Correlations Return MATLAB Wavelet tool box Stock markets |
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