Visualizing the Periods of Stock Prices Using Non-Harmonic Analysis of the NASDAQ Composite Index Since 1985
DOI:
https://doi.org/10.6000/1929-7092.2013.02.12Keywords:
Stock price prediction, Stock market, Fourier transform, Non-harmonic analysis, Periodicity of stock pricesAbstract
Abstract: The prediction of stock prices is studied extensively, because of the demand from private investors and financial institutions. However, long-term prediction is difficult due to the large number of factors that affect the real market. Previous research has focused on the fluctuation patterns and fluctuation periodicity of stock prices. We have likewise focused on the periodicity of stock prices. We have used a new high-resolution frequency analysis (non-harmonic analysis) method can solve the previous problem of the frequency resolution being low. As a consequence, we have succeeded in visualizing the various periodicities of stock prices. The periodicity fluctuates gently in many periods, but we have confirmed that it fluctuated violently in periods when a sudden event occurred. We expect that this experimental result in combination with previous research will help increase predictive accuracy and will aid long-term prediction.
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http://dx.doi.org/10.1093/rfs/1.1.41
W. Lo “Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data”, Econometric Theory, Vol. 4, pp. 231-247, 1988. http://www.nber.org/papers/t0059
http://dx.doi.org/10.1017/S0266466600012044
J. A. Schumpeter, “Business cycles: a theoretical, historical, and statistical analysis of the capitalist process”, New York, McGraw-Hill, 1939.
R. N. Elliott, “R. N. Elliott's Masterworks”, Elliott Wave International Inc., pp. 94-128, 1994
T. Shimokawa, T. Misawa, and K. Watanabe, “Word of Mouth: An Agent-based Approach to Predictability of Stock Prices”, Transactions of the Japanese Society for Artificial Intelligence, 21, pp. 340-349, 2006-11-01 (in Japanese). http://dx.doi.org/10.1527/tjsai.21.340
E. Guresen, G. Kayakutlu, and T. U. Daim, “Using artificial neural network models in stock market index prediction”, Expert Systems with Applications, 38, pp. 10389-10397, 2011.
http://dx.doi.org/10.1016/j.eswa.2011.02.068
H. Sakai and K. Kawai “System Dynamics Modeling for Product Diffusions and Its Limitations”, The Bulletin of the Research institute of St. Andrew's University, 31(3), pp. 115-195, 2006 (in Japanese)
W. S. McCulloch and W. H. Pitts, “A logical calculus of the ideas immanent in nervous activity”, Bull. Math. Biophys., Vol. 5, pp. 115-133, 1943.
http://dx.doi.org/10.1007/BF02478259
D. E. Rumelhart, J. L. McClelland and the PDP Research Group, “Parallel Distributed Processing”, MIT Press, 1986
T. Yanagawa, “Toukeisugaku” (Mathematical Statistics), Kindai Kagaku Sha Co., Ltd, pp. 80 (in Japanese).
A. Greenspan, “Discussion at Symposium: Maintaining Financial Stability in a Global Economy”, The Federal Reserve Bank of Kansas City, 1997, pp. 54, 1997.
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S. Hirobayashi, “Verification of a Forecasting Method Involving Non-Harmonic Analysis of the Nikkei Stock Average Since 1990”, The Transactions of the Institute of Electronics, Information and Communication Engineers, Vol. 91-A, No.1, pp. 153-161, 2008 (in Japanese)
T. Ichinose , S. Hirobayashi , T. Misawa and T. Yoshizawa “Forecast of stock market based on nonharmonic analysis used on NASDAQ since 1985”, Applied Financial Economics, 22, pp. 197-208, 2012.
http://dx.doi.org/10.1080/09603107.2011.607129
Toshio Yoshizawa, Shigeki Hirobayashi and Tadanobu Misawa, “Noise reduction for periodic signals using high resolution frequency analysis”, EURASIP Journal on Audio, Speech, and Music Processing, 5, 2011.
http://dx.doi.org/10.1186/1687-4722-2011-426794
Xu Cao, Tetsuya Uchida, Shigeki Hirobayashi, Changho Chong, Atsushi Morosawa, Koki Totuka and Takuya Suzuki, “Non-Harmonic Analysis Applied to Optical Coherence Tomography Imaging”, Japanese Journal of Applied Physics, Volume 51, Issue 2, pp. 022503-022503-8, 2012.
http://dx.doi.org/10.1143/JJAP.51.022503
Tetsuya Uchida, Shigeki Hirobayashi, Tadanobu Misawa, Toshio Yoshizawa, Xu Cao, Changho Chong, Atushi Morosawa, Koki Totsuka and Takuya Suzuki, “Non-uniform non-harmonic analysis method development and verification of applicability to swept source optical coherence tomography”, Nonlinear Theory and Its Applications, IEICE, Vol. 4, No. 2, pp. 172-182, 2013.
http://dx.doi.org/10.1587/nolta.4.172
M. Chesney, G. Reshetar and M. Karaman, “The impact of terrorism on financial markets: An empirical study”, Journal of Banking & Finance, 35, pp. 253-267, 2011.
http://dx.doi.org/10.1016/j.jbankfin.2010.07.026
T. Ohnishi et al., “Acoustic Signal Processing Using Multi-Windowed STFT and Harmonics Sieving”, Fifth international congress on sound and vibration, vol. 4, pp. 2167-2174, 1997
H. Fukuda et al., IASTED International Conference, 1996
T. Terada et al., “Non-stationary waveform analysis and synthesis using generalized harmonic analysis”, IEEE-SP International Symposium on Time-Frequency and Time-Scale Analysis, pp. 429-432, 1994.
http://dx.doi.org/10.1109/TFSA.1994.467323
N. Wiener, “The Fourier Integral and Certain of its Applications”, Dover Publications Inc., New York, pp. 158-199, 1958
D. Kenourgios and A. Samitas, “The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange”, International Research Journal of Finance and Economics, 2008
J. Z. Wang, J. J. Wang, Z. G. Zhang, S. P. Guo, “Forecasting stock indices with back propagation neural network”, Expert Systems with Applications, 38, pp. 14346-14355, 2011. http://dx.doi.org/10.1016/j.eswa.2011.04.222
A. J. Frost and Robert. R. Prechter, “Elliott Wave Principle”, New Classics Library, 1985
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Published
2013-05-09
How to Cite
Matsui, S., Hirobayashi, S., Misawa, T., & Furukawa, M. (2013). Visualizing the Periods of Stock Prices Using Non-Harmonic Analysis of the NASDAQ Composite Index Since 1985. Journal of Reviews on Global Economics, 2, 142–157. https://doi.org/10.6000/1929-7092.2013.02.12
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