The Application Of Spectral Analysis In Measuring The Stock Market Cycle

The spectrum analysis is based on the Fourier transform and fitering theory,it has been widely used in communications,radar,remote sensing,meteorology,geophysics,astronomy and other fields since the thirties of the last century.In particularly it has got rapid development when the computer appears, new theories,new methods and new technologies emerge under the rapid development of modern spectral estimation.It can be said that it is in the wake of the rapid development. in recent two decades,scholars have begun to try to apply it in the financial field.According to the economic cycles,this article shows the existence of periodic fluctuations in the stock market,and we use the classical and modern spectral estimation methods to find the hidden cycle of domestic and foreign stock market volatility cycle,having a better understanding for the economic cycle and stock market volatility.First,we introduce the concept and theory of the spectral analysis and its application in the field of economic and finance,then summarizes the basic factors affecting stock market volatility.Second, In this part,we use the linear and nonlinear method of the spectrum to analysis the important index of domestic and foreign stock market and research some oretical issues,such as estimation of model parameters,and the volatility cycle characteristics of the world's top five markets index.Finally,according to the national financial and economic situation,we study the volatility characteristics and discipline of the stock market,and the implicit cycle,learning from the spectrum analysis that has been done in other areas.