Spectral Analysis of Capital Markets

A. Dyka, P. Dudojć and J. Garus Gdańsk University of Technology, G. Narutowicza 11/12, 80-233 Gdańsk, Poland

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In this paper the problem of cycles existence in capital markets is addressed. A spectral analysis algorithm, which reduces signal-to-noise ratio, is proposed to derive cycle periodograms for the yield function of DJIA, WIG 20, and NIKKEI 225 indices. Peaks of the the periodograms provide premises to postulate the existence of some possible cycles. The 3.5 year periodicity in all 3 indices, which can be related to the Kitchin cycle is found to be the most distinctive one.

DOI: 10.12693/APhysPolA.123.518 PACS numbers: 89.65.Gh, 02.30.Nw, 02.60.Ed, 89.90.+n