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Testing for non-linearity in an artificial financial market: a recurrence quantification approach

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  • Belaire-Franch, Jorge

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  • 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.
  • Handle: RePEc:eee:jeborg:v:54:y:2004:i:4:p:483-494
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    1. Barnett, William A. & Gallant, A. Ronald & Hinich, Melvin J. & Jungeilges, Jochen A. & Kaplan, Daniel T. & Jensen, Mark J., 1997. "A single-blind controlled competition among tests for nonlinearity and chaos," Journal of Econometrics, Elsevier, vol. 82(1), pages 157-192.
    2. Soofi, Abdol S. & Cao, Liangyue, 1999. "Nonlinear deterministic forecasting of daily Peseta-Dollar exchange rate," Economics Letters, Elsevier, vol. 62(2), pages 175-180, February.
    3. Strozzi, Fernanda & Zaldı́var, José-Manuel & Zbilut, Joseph P, 2002. "Application of nonlinear time series analysis techniques to high-frequency currency exchange data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 312(3), pages 520-538.
    4. de Lima, Pedro J. F., 1997. "On the robustness of nonlinearity tests to moment condition failure," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 251-280.
    5. Lux, T. & M. Marchesi, "undated". "Volatility Clustering in Financial Markets: A Micro-Simulation of Interacting Agents," Discussion Paper Serie B 437, University of Bonn, Germany, revised Jul 1998.
    6. Gilmore, Claire G., 1993. "A new test for chaos," Journal of Economic Behavior & Organization, Elsevier, vol. 22(2), pages 209-237, October.
    7. Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993. "Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests," Journal of Econometrics, Elsevier, vol. 56(3), pages 269-290, April.
    8. Giuliani, Alessandro & Colafranceschi, Mauro & Webber, Charles L & Zbilut, Joseph P, 2001. "A complexity score derived from principal components analysis of nonlinear order measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 301(1), pages 567-588.
    9. Hinich Melvin J & Mendes Eduardo M & Stone Lewi, 2005. "Detecting Nonlinearity in Time Series: Surrogate and Bootstrap Approaches," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(4), pages 1-15, December.
    10. Chen, Shu-Heng & Lux, Thomas & Marchesi, Michele, 2001. "Testing for non-linear structure in an artificial financial market," Journal of Economic Behavior & Organization, Elsevier, vol. 46(3), pages 327-342, November.
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    Cited by:

    1. Karagianni Stella & Kyrtsou Catherine, 2011. "Analysing the Dynamics between U.S. Inflation and Dow Jones Index Using Non-Linear Methods," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(2), pages 1-25, March.
    2. Addo, Peter Martey & Billio, Monica & Guégan, Dominique, 2013. "Nonlinear dynamics and recurrence plots for detecting financial crisis," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 416-435.
    3. Catherine Kyrtsou & Michel Terraza, 2010. "Seasonal Mackey–Glass–GARCH process and short-term dynamics," Empirical Economics, Springer, vol. 38(2), pages 325-345, April.
    4. Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Turning point chronology for the Euro-Zone: A Distance Plot Approach," Documents de travail du Centre d'Economie de la Sorbonne 13025r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Oct 2013.
    5. 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.
    6. Sergii Piskun & Oleksandr Piskun & Dmitry Chabanenko, 2011. "RQA Application for the Monitoring of Financial and Commodity markets state," Papers 1112.0297, arXiv.org.

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