Recurrence quantification analysis and state space divergence reconstruction for financial time series analysis

Physica A: Statistical Mechanics and its Applications

Volumn 376, Issue 1-2, 2007, Pages 487-499

  Strozzi, Fernanda ^a   Zaldívar, José Manuel ^b   Zbilut, Joseph P ^c  

^a CREMS Centre for Research on Health Economics Social and Health Care Management Carlo Cattaneo University LIUC   (Italy)

^b JOINT RESEARCH CENTRE   (Italy)

^c RUSH MEDICAL COLLEGE   (United States)

Author keywords

Econophysics; Exchange rates; Non linear dynamics; Recurrence quantification; Trading

Indexed keywords

DATA STRUCTURES; MARKETING; ONLINE SYSTEMS; STATE SPACE METHODS;

ECONOPHYSICS; EXCHANGE RATES; NON LINEAR DYNAMICS; RECURRENCE QUANTIFICATION ANALYSIS (RAQ); TRADING;

TIME SERIES ANALYSIS;

EID: 33846139696     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2006.10.020     Document Type: Article

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