Statistical analysis of the Dow Jones industrial average trend

The USA financial market is the centerpiece of global finance where happen strategic exchanges of products and services and are defined the lines of behavior for all other markets. One of the most important indicators of the USA financial market is the Dow Jones Industrial Average. Since 1928, Dow Jones is a fundamental index for the financial markets. It is considered the barometer of the economy and of the stock market of the United States. The work that we are presenting wants to analyze the course of this index based on the development of macroeconomic variables and other important indicators of the financial market to better understand the individual dynamics that may be behind the crisis of 2007 markets and as such crisis has affected the rest of the world markets. We know that, the financial data are the result of a mix of information and strategic behavior of economic and financial market, this mix of information variables are included in the data but are not easily identified in the financial data. Using statistical methods appropriate for the study of financial time series, and thanks to the introduction and support of innovative computer techniques, we can identify such latent variables and thus analyze them, in order to determine a model able to hypothesize the trend index in a brief time with a low relative error.