RQA Application for the Monitoring of Financial and Commodity markets state
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.
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.:
- 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.
- 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.
- 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.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:arx:papers:1112.0297. 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: (arXiv administrators)
If references are entirely missing, you can add them using this form.