RECURRENCE PLOT AND RECURRENCE QUANTIFICATION ANALYSIS TECHNIQUES FOR DETECTING A CRITICAL REGIME.

DOI10.1142/S0129183105007492zbMATH Open1103.91348arXivcond-mat/0412765OpenAlexW2950325250MaRDI QIDQ5704656FDOQ5704656

Authors: Annalisa Fabretti, Marcel R. Ausloos 

Publication date: 15 November 2005

Published in: International Journal of Modern Physics C (Search for Journal in Brave)

Abstract: Recurrence Plot (RP) and Recurrence Quantification Analysis (RQA) are signal numerical analysis methodologies able to work with non linear dynamical systems and non stationarity. Moreover they well evidence changes in the states of a dynamical system. We recall their features and give practical recipes. It is shown that RP and RQA detect the critical regime in financial indices (in analogy with phase transition) before a bubble bursts, whence allowing to estimate the bubble initial time. The analysis is made on DAX and NASDAQ daily closing price between Jan. 1998 and Nov. 2003. DAX is studied in order to set-up overall considerations, and as a support for deducing technical rules. The NASDAQ bubble initial time has been estimated to be on Oct. 19, 1999.

Full work available at URL: https://arxiv.org/abs/cond-mat/0412765

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zbMATH Keywords

nonlinear time series analysisfinancial bubblerecurrence plotrecurrence quantification analysisNASDAQDAXendogenous crash

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84) Classical dynamic and nonequilibrium statistical mechanics (general) (82C05)

Cites Work

• Practical implementation of nonlinear time series methods: The TISEAN package
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Cited In (7)

• Identifying spatial patterns and dynamics of climate change using recurrence quantification analysis: a case study of qinghai -- tibet plateau
• How to avoid potential pitfalls in recurrence plot based data analysis
• Evaluation of recursive detection methods for turning points in financial time series
• Recurrence quantification analysis on a Kaldorian business cycle model
• Recurrence and symmetry of time series: application to transition detection
• Correlation sum and recurrence determinism of interval maps
• Intraday seasonality and volatility pattern: an explanation with recurrence quantification analysis

Uses Software

• TISEAN

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