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RQA Application for the Monitoring of Financial and Commodity markets state

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  • Sergii Piskun
  • Oleksandr Piskun
  • Dmitry Chabanenko
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    Abstract

    Nowadays, 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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    File URL: http://arxiv.org/pdf/1112.0297
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    Paper provided by arXiv.org in its series Papers with number 1112.0297.

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    Date of creation: Dec 2011
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    Handle: RePEc:arx:papers:1112.0297

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    1. Jorge Belaire-Franch, & Dulce Contreras & Lorena Tordera-Lledo, 2002. "Assessing Non-Linear Structures in Real Exchange Rates Using Recurrence Plot Strategies," Computing in Economics and Finance 2002 239, Society for Computational Economics.
    2. Belaire-Franch, Jorge, 2004. "Testing for non-linearity in an artificial financial market: a recurrence quantification approach," Journal of Economic Behavior & Organization, Elsevier, vol. 54(4), pages 483-494, August.
    3. Kyrtsou, Catherine & Malliaris, Anastasios G. & Serletis, Apostolos, 2009. "Energy sector pricing: On the role of neglected nonlinearity," Energy Economics, Elsevier, vol. 31(3), pages 492-502, May.
    4. Bastos, João A. & Caiado, Jorge, 2011. "Recurrence quantification analysis of global stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(7), pages 1315-1325.
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