Wavelet Analysis of the Bombay Stock Exchange Index |
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Authors: | Biswal Pratap Chandra Kamaiah B Panigrahi Prasanta Kumar |
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Institution: | 18.Institute for Studies in Industrial Development, I. P. Estate, New Delhi, 10002, India ;28.Department of Economics, University of Hyderabad, Hyderabad, 500 046, India ;38.Physical Research Laboratory, Navarangapura, Ahmedabad, 380 009, India ; |
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Abstract: | The fluctuations in the rate of returns of the Bombay stock exchange are analyzed through wavelet transform. The fluctuations, in various time scales, naturally separated by the wavelets, are subjected to statistical analysis. The localization and multiresolution properties of the wavelets enable one to identify collective behaviour in the stock market and the extent of their influence at various time scales. The Gaussian nature of the rate of returns at certain scales and the periodic nature of the same, at other scales, are clearly brought out by this analysis. The utility of this approach for modeling purpose is also elucidated. |
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