کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
976015 933070 2010 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Viscoelastic behavior of stock indices
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Viscoelastic behavior of stock indices
چکیده انگلیسی

The scattering diagram of a stock index results in a complex network structure, which can be used to analyze the viscoelastic properties of the index. The change along xx- or yy-direction of the diagram corresponds to purely elastic (or spring like) movement whereas the diagonal change at an angle of 45° corresponds to purely viscous (or dashpot like) movement. The viscous component pushes the price from its current value to any other value, while the elastic component acts like a restoring force. Four indices, namely, DJI, S&P-500, NASDAQ-100, and NASDAQ-composite were studied for the period of 2001–2009. NASDAQ-composite displayed very high elasticity while NASDAQ-100 displayed the highest fluidity in the time period considered. The fluidity of DJI and S&P-500 came out to be close to each other, and they are almost the same in the second half of the period.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 389, Issue 24, 15 December 2010, Pages 5776–5784
نویسندگان
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