IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis

Identification of financial bubbles and crisis is a topic of major concern since it is important to prevent collapses that can severely impact nations and economies. Our analysis deals with the use of the recently proposed "delay vector variance" (DVV) method, which examines local predictability of a signal in the phase space to detect the presence of determinism and nonlinearity in a time series. Optimal embedding parameters used in the DVV analysis are obtained via a differential entropy based method using wavelet-based surrogates. We exploit the concept of recurrence plots to study the stock market to locate hidden patterns, non-stationarity, and to examine the nature of these plots in events of financial crisis. In particular, the recurrence plots are employed to detect and characterize financial cycles. A comprehensive analysis of the feasibility of this approach is provided. We show that our methodology is useful in the diagnosis and detection of financial bubbles, which have significantly impacted economic upheavals in the past few decades.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: ftp://mse.univ-paris1.fr/pub/mse/CES2013/13024.pdf
Download Restriction: no

Paper provided by Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne in its series Documents de travail du Centre d'Economie de la Sorbonne with number 13024.

as
in new window

Length: 22 pages
Date of creation: Mar 2013
Date of revision:
Handle: RePEc:mse:cesdoc:13024
Contact details of provider: Postal: 106-112 boulevard de l'Hôpital 75 647 PARIS CEDEX 13
Phone: + 33 44 07 81 00
Fax: + 33 1 44 07 83 01
Web page: http://centredeconomiesorbonne.univ-paris1.fr/

More information through EDIRC

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.:

as in new window
  1. 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.
  2. repec:hal:journl:halshs-00694420 is not listed on IDEAS
  3. Peter Martey Addo & Monica Billio & Dominique Guegan, 2012. "Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach," Documents de travail du Centre d'Economie de la Sorbonne 12023, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  4. Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Understanding Exchange Rates Dynamics," Documents de travail du Centre d'Economie de la Sorbonne 13023, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  5. Aizenman, Joshua & Noy, Ilan, 2012. "Overview of the special issue on international finance in the aftermath of the 2008 global crisis," The North American Journal of Economics and Finance, Elsevier, vol. 23(3), pages 265-268.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:mse:cesdoc:13024. 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: (Lucie Label)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.