RQA Application for the Monitoring of Financial and Commodity markets state
AbstractNowadays, when crashes and crises are rather frequent events, an effective monitoring system for the international financial market is needed. Modern nonlinear methods, such as Recurrence Quantification Analysis (RQA), demonstrate the ability to reveal the regularities of the system behavior. Thus, they can be useful for the analysis of the market state in real time. In present paper we did an effort to apply the RQA for the purpose of economic time series monitoring. 12 stock indexes, 6 currency pairs and 4 commodities were taken for the study.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1112.0297.
Date of creation: Dec 2011
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-13 (All new papers)
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- Joao A. Bastos & Jorge Caiado, 2010.
"Recurrence quantification analysis of global stock markets,"
CEMAPRE Working Papers
1006, Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon.
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