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Spectral Analysis of Dow Jones Index and Comparison with Model Predicted Cycles During 1900-2005

A. M. Selvam
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Abstract

The day-to day fluctuations of Dow Jones Index exhibit fractal fluctuations, namely, a zigzag pattern of successive increases followed by decreases on all space-time scales. Self-similar fractal fluctuations are generic to dynamical systems in nature and imply long-range space-time correlations. The apparently unpredictable (chaotic) fluctuations of dynamical systems exhibit underlying order with the power spectra exhibiting inverse power law form, now identified as self-organized criticality. The physics of self-organized criticality is not yet identified. A general systems theory developed by the author shows that self-similar fractal fluctuations are signatures of quantum-like chaos in dynamical systems of all size scales ranging from the subatomic dynamics of quantum systems to macro-scale fluid flows. The model predicts the universal inverse power-law form of the statistical normal distribution for the power spectra of fractal space-time fluctuations of dynamical systems. In this paper it is shown that the power spectrum of 100 years of normalized month to month fluctuations of Dow Jones index exhibits the universal inverse power law form of the statistical normal distribution consistent with model prediction. It is shown that prediction of times of occurrence of maxima and minima during the two years subsequent to the data period used for the study is possible using the dominant peak periodicities obtained from the continuous periodogram spectral analysis of historic data.

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A. M. Selvam. 2006-03-09. Spectral Analysis of Dow Jones Index and Comparison with Model Predicted Cycles During 1900-2005. https://arxiv.org/abs/physics/0603065

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