Laminarity and Market Stress: Testing an RQA-Based Diagnostic During the COVID-19 Shock

Financial crises are usually identified through drawdowns, volatility, and changes in returns, but these indicators do not directly describe whether the recurrence structure of market behaviour changes during a shock. This study tests Laminarity, a Recurrence Quantification Analysis measure derived from vertical structures in recurrence plots, as a nonlinear diagnostic of persistence and market-regime structure during the COVID-19 market shock. Daily data for the Dow Jones Industrial Average, S&P 500, and NASDAQ Composite from 2018 to 2022 are analysed using adjusted prices and log returns. Rolling-window Recurrence Quantification Analysis is applied across alternative window lengths and recurrence thresholds, testing crisis-responsive and longer robustness windows, as well as sparse, intermediate, and denser recurrence definitions. Drawdown and rolling volatility are used as descriptive benchmarks for cumulative loss and fluctuation intensity over the same stress episode. The results show that conventional indicators identify the COVID-19 shock clearly. Price-based Laminarity generally increases during the stress period, consistent with a more persistent crisis trajectory in price levels. Return-based Laminarity is more heterogeneous, with some specifications showing Laminarity loss and others increases. The findings do not support Laminarity as a universal crisis-warning signal, but as a parameter-sensitive diagnostic of recurrence structure, especially when interpreted alongside related RQA metrics.