Recurrence quantification analysis of wavelet pre-filtered index returns
AbstractIn this paper we investigate for the presence of non-stochastic, possibly nonlinear deterministic dynamical cycles in financial time series. Evidence of nonlinear dynamics is revealed in denoised daily stock market index returns for six countries by combining Recurrence Quantification Analysis (RQA: see Zbilut and Webber (J. Appl. Phys. 76(2) (1994) 965)) and wavelet filtering. Quantitative and qualitative results indicate that through wavelet pre-filtering we can obtain a clearer view of the underlying dynamical structure of returns generating processes. Our results also suggest the existence of high dimensional deterministic dynamics, unstable periodic orbits and chaos.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 344 (2004)
Issue (Month): 1 ()
Contact details of provider:
Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/
Recurrence plots; Recurrence quantification analysis; Wavelets; Financial time-series analysis; Chaos;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ramsey James B., 2002. "Wavelets in Economics and Finance: Past and Future," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(3), pages 1-29, November.
- Enrico Capobianco, 2002. "Multiresolution approximation for volatility processes," Quantitative Finance, Taylor and Francis Journals, vol. 2(2), pages 91-110.
- Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
- Chen Ping, 1996. "A Random Walk or Color Chaos on the Stock Market? Time-Frequency Analysis of S&P Indexes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 1(2), pages 1-19, July.
- Antonios Antoniou & Constantinos E. Vorlow, 2004. "Price Clustering and Discreteness: Is there Chaos behind the Noise?," Papers cond-mat/0407471, arXiv.org.
- Leontitsis, Alexandros & Vorlow, Constantinos E., 2006. "Accounting for outliers and calendar effects in surrogate simulations of stock return sequences," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 368(2), pages 522-530.
- Constantinos E. Vorlow, 2004. "Stock Price Clustering and Discreteness: The "Compass Rose" and Predictability," Papers cond-mat/0408013, arXiv.org.
If references are entirely missing, you can add them using this form.