mirage

Detecting macroeconomic phases in the Dow Jones Industrial Average time series.

DSpace/Manakin Repository

 

Search DR-NTU


Advanced Search Subject Search

Browse

My Account

Detecting macroeconomic phases in the Dow Jones Industrial Average time series.

Show simple item record

dc.contributor.author Wong, Jian Cheng.
dc.contributor.author Lian, Heng.
dc.contributor.author Cheong, Siew Ann.
dc.date.accessioned 2009-10-01T02:57:08Z
dc.date.available 2009-10-01T02:57:08Z
dc.date.copyright 2009
dc.date.issued 2009-10-01T02:57:08Z
dc.identifier.citation 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.
dc.identifier.issn 0378-4371
dc.identifier.uri http://hdl.handle.net/10220/6107
dc.description.abstract 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).
dc.format.extent 11 p.
dc.language.iso en
dc.relation.ispartofseries Physica A
dc.rights Physica A © copyright 2009 Elsevier. The journal's website is located at http://www.elsevier.com/locate/physa.
dc.subject DRNTU::Science::Mathematics::Statistics.
dc.subject DRNTU::Business::Finance::Mathematical finance.
dc.title Detecting macroeconomic phases in the Dow Jones Industrial Average time series.
dc.type Journal Article
dc.contributor.school School of Physical and Mathematical Sciences
dc.identifier.doi http://dx.doi.org/10.1016/j.physa.2009.07.029
dc.description.version Published version

Files in this item

Files Size Format View Description
Wong2009PhysicaA388p4635.pdf 1.649Mb PDF View/Open Published version

This item appears in the following Collection(s)

Show simple item record

Statistics

Total views

All Items Views
Detecting macroeconomic phases in the Dow Jones Industrial Average time series. 547

Total downloads

All Bitstreams Views
Wong2009PhysicaA388p4635.pdf 240

Top country downloads

Country Code Views
United States of America 79
China 49
Singapore 22
Indonesia 18
Russian Federation 17

Top city downloads

city Views
Mountain View 46
Beijing 35
Singapore 21
Jakarta 16
Melbourne 10

Downloads / month

  2014-02 2014-03 2014-04 total
Wong2009PhysicaA388p4635.pdf 0 0 3 3