RECURRENCE PLOT AND RECURRENCE QUANTIFICATION ANALYSIS TECHNIQUES FOR DETECTING A CRITICAL REGIME.
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Publication:5704656
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.
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Cited in
(10)- Identifying spatial patterns and dynamics of climate change using recurrence quantification analysis: a case study of qinghai -- tibet plateau
- Recurrence Interval Analysis of Financial Time Series
- Recurrence quantification analysis on a Kaldorian business cycle model
- An adaptive method for threshold of recurrence quantification analysis based on SAX
- Evaluation of recursive detection methods for turning points in financial time series
- Why topological data analysis detects financial bubbles?
- How to avoid potential pitfalls in recurrence plot based data analysis
- Correlation sum and recurrence determinism of interval maps
- Intraday seasonality and volatility pattern: an explanation with recurrence quantification analysis
- Recurrence and symmetry of time series: application to transition detection
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