An Instantaneous Frequency Analysis to Stock Returns in a Financial Crisis

10.6148/IJITAS.2011.04.01.05

Tsairchuan Lin；Sueman Chang

Instantaneous frequency ； Instantaneous angle ； Empirical mode decomposition ； Hilbert-Huang Transformation HHT

International Journal of Intelligent Technologies and Applied Statistics

4卷1期（2011 / 03 / 01）

85 - 94

英文

Most of the classical time series analyses require the time series to be stationary and/or linear. However, financial time series are usually nonlinear and nonstationary. In this study, we use the Hilbert-Huang Transformation (HHT) to investigate the dairy return of several international stock markets from 2005 to 2010. The HHT approach mainly consists of application of the empirical mode decomposition (EMD) and the instantaneous frequency/phase analysis. We find that there is an obvious change in the behavior of the trading activity among these stock markets since the US sub-prime mortgage credit crunch in 2008.