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Visual Recurrence Analysis And Its Application

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Author Info
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

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Publisher Info
Article provided by University of Economics, Prague in its journal Politická ekonomie.

Volume (Year): 2009 (2009)
Issue (Month): 3 ()
Pages: 305-322
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Handle: RePEc:prg:jnlpol:v:2009:y:2009:i:3:id:686:p:305-322

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Related research
Keywords: nonlinear deterministic dynamics; Lorenz attractor; visual recurrence analysis; recurrence plot; quantitative recurrence analysis; finance time series; Czech stock market;

Find related papers by JEL classification:
C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data
G19 - Financial Economics - - General Financial Markets - - - Other

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This page was last updated on 2009-12-2.

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