RECURRENCE PLOT AND RECURRENCE QUANTIFICATION ANALYSIS TECHNIQUES FOR DETECTING A CRITICAL REGIME.-Reference-Cited by-同舟云学术

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

Published:2005-05 Issue:05 Volume:16 Page:671-706
ISSN:0129-1831
Container-title:International Journal of Modern Physics C
language:en
Short-container-title:Int. J. Mod. Phys. C

Author:

FABRETTI A.¹²,AUSLOOS M.¹

Affiliation:

1. SUPRATECS, B5, University of Liège, B-4000 Liège, Euroland

2. Department of Mathematics for Economy, Insurances and Finance Applications, University of Roma 1, La Sapienza I-00100 Rome, Italy

Abstract

Recurrence Plot (RP) and Recurrence Quantification Analysis (RQA) are signal numerical analysis methodologies able to work with nonlinear dynamical systems and nonstationarity. 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 January 1998 and November 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 19 October 1999.

Publisher

World Scientific Pub Co Pte Lt

Subject

Computational Theory and Mathematics,Computer Science Applications,General Physics and Astronomy,Mathematical Physics,Statistical and Nonlinear Physics

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0129183105007492

Reference38 articles.

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