2011/12/01 by Sergii Piskun, Piskun, Sergii, Oleksandr Piskun +3
Decision Sciences · Economics, Econometrics and Finance · Physics and Astronomy · #Chaos control and synchronization #Chaotic Dynamics (nlin.CD) #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Physical sciences #General Finance (q-fin.GN) #Market Dynamics and Volatility #Statistical Finance (q-fin.ST) #Stock Market Forecasting Methods #nlin.CD #q-fin.GN #q-fin.ST
paper · pdf · doi:10.48550/arxiv.1112.0297
22 pages, 14 figures
arxiv created 2011/12/01 · openalex publication_date 2011/12/01 · arxiv updated 2011/12/02 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.