Recurrence quantification analysis of wavelet pre-filtered index returns
In this paper we investigate for the presence of non-stochastic, possibly nonlinear deterministic dynamical cycles in financial time series. Evidence of nonlinear dynamics is revealed in denoised daily stock market index returns for six countries by combining Recurrence Quantification Analysis (RQA: see Zbilut and Webber (J. Appl. Phys. 76(2) (1994) 965)) and wavelet filtering. Quantitative and qualitative results indicate that through wavelet pre-filtering we can obtain a clearer view of the underlying dynamical structure of returns generating processes. Our results also suggest the existence of high dimensional deterministic dynamics, unstable periodic orbits and chaos.
Volume (Year): 344 (2004)
Issue (Month): 1 ()
|Contact details of provider:|| Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
- Enrico Capobianco, 2002. "Multiresolution approximation for volatility processes," Quantitative Finance, Taylor & Francis Journals, vol. 2(2), pages 91-110.
- Chen Ping, 1996. "A Random Walk or Color Chaos on the Stock Market? Time-Frequency Analysis of S&P Indexes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 1(2), pages 1-19, July.
- Ramsey James B., 2002. "Wavelets in Economics and Finance: Past and Future," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(3), pages 1-29, November.
When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:344:y:2004:i:1:p:257-262. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If references are entirely missing, you can add them using this form.