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Recurrence analysis near the NASDAQ crash of April 2000

In: Practical Fruits of Econophysics

Author

Listed:
  • Annalisa Fabretti

    (University of Roma)

  • Marcel Ausloos

    (University of Liège)

Abstract

Summary Recurrence Plot (RP) and Recurrence Quantification Analysis (RQA) are signal numerical analysis methodologies able to work with non linear dynamical systems and non stationarity. Moreover they well evidence changes in the states of a dynamical system. It is shown that RP and RQA detect the critical regime in financial indices (in analogy with phase transitions) before a bubble bursts, whence allowing to estimate the bubble initial time. The analysis is made on NASDAQ daily closing price between Jan. 1998 and Nov. 2003. The NASDAQ bubble initial time has been estimated to be on Oct. 19, 1999.

Suggested Citation

  • Annalisa Fabretti & Marcel Ausloos, 2006. "Recurrence analysis near the NASDAQ crash of April 2000," Springer Books, in: Hideki Takayasu (ed.), Practical Fruits of Econophysics, pages 52-56, Springer.
    • Handle: RePEc:spr:sprchp:978-4-431-28915-9_8
    DOI: 10.1007/4-431-28915-1_8
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    Citations

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    Cited by:

    1. B. Goswami & G. Ambika & N. Marwan & J. Kurths, 2011. "On interrelations of recurrences and connectivity trends between stock indices," Papers 1103.5189, arXiv.org.
    2. Teresa Aparicio & Dulce Saura, 2013. "Do Exchange Rate Series Present General Dependence? Some Results using Recurrence Quantification Analysis," Journal of Economics and Behavioral Studies, AMH International, vol. 5(10), pages 678-686.
    3. Marcel Ausloos, 2013. "Econophysics: Comments on a Few Applications, Successes, Methods and Models," IIM Kozhikode Society & Management Review, , vol. 2(2), pages 101-115, July.
    4. Goswami, B. & Ambika, G. & Marwan, N. & Kurths, J., 2012. "On interrelations of recurrences and connectivity trends between stock indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(18), pages 4364-4376.

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