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Vizuální nelineární rekurentní analýza
[Visual Recurrence Analysis and its Application]

Author

Listed:
  • Jan Kodera
  • Tran Van Quang

Abstract

The aim of the article is to answer the question if the Czech stock market price dynamics is generated by non-linear deterministic dynamic process. To solve this complex problem requires using sophisticated computational operations to analyze huge amount of data input. To overcome this obstacle the visual recurrence analysis is applied in this article. This method enables visualization of the state space reconstructed from a time series in the so called recurrent plot. Further, it quantifies various geometric structures occurred in recurrent plots and gives us more exact information about the nature of the underlying process generating the time series. This analysis is then applied to the most liquid stock returns and the Czech stock market index PX series

Suggested Citation

  • Jan Kodera & Tran Van Quang, 2009. "Vizuální nelineární rekurentní analýza [Visual Recurrence Analysis and its Application]," Politická ekonomie, Prague University of Economics and Business, vol. 2009(3), pages 305-322.
    • Handle: RePEc:prg:jnlpol:v:2009:y:2009:i:3:id:686:p:305-322
    DOI: 10.18267/j.polek.686
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    References listed on IDEAS

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    1. A. Fabretti & M. Ausloos, 2005. "Recurrence Plot And Recurrence Quantification Analysis Techniques For Detecting A Critical Regime. Examples From Financial Market Inidices," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 16(05), pages 671-706.
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    More about this item

    Keywords

    Czech Stock Market; nonlinear deterministic dynamics; Lorenz attractor; visual recurrence analysis; recurrence plot; quantitative recurrence analysis; finance time series;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • G19 - Financial Economics - - General Financial Markets - - - Other

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