IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v312y2002i3p520-538.html
   My bibliography  Save this article

Application of nonlinear time series analysis techniques to high-frequency currency exchange data

Author

Listed:
  • Strozzi, Fernanda
  • Zaldı́var, José-Manuel
  • Zbilut, Joseph P

Abstract

In this work we have applied nonlinear time series analysis to high-frequency currency exchange data. The time series studied are the exchange rates between the US Dollar and 18 other foreign currencies from within and without the Euro zone. Our goal was to determine if their dynamical behaviours were in some way correlated. The nonexistence of stationarity called for the application of recurrence quantification analysis as a tool for this analysis, and is based on the definition of several parameters that allow for the quantification of recurrence plots. The method was checked using the European Monetary System currency exchanges. The results show, as expected, the high correlation between the currencies that are part of the Euro, but also a strong correlation between the Japanese Yen, the Canadian Dollar and the British Pound. Singularities of the series are also demonstrated taking into account historical events, in 1996, in the Euro zone.

Suggested Citation

  • Strozzi, Fernanda & Zaldı́var, José-Manuel & Zbilut, Joseph P, 2002. "Application of nonlinear time series analysis techniques to high-frequency currency exchange data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 312(3), pages 520-538.
    • Handle: RePEc:eee:phsmap:v:312:y:2002:i:3:p:520-538
    DOI: 10.1016/S0378-4371(02)00846-4
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437102008464
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
    File URL: https://libkey.io/10.1016/S0378-4371(02)00846-4?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:312:y:2002:i:3:p:520-538. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.