Using recurrence plot analysis to distinguish between endogenous and exogenous stock market crashes

Physica A: Statistical Mechanics and its Applications

Volumn 389, Issue 9, 2010, Pages 1874-1882

  Guhathakurta, Kousik ^b   Bhattacharya, Basabi ^a   Chowdhury, A Roy ^a  

^a JADAVPUR UNIVERSITY   (India)

^b Army Institute of Management Kolkata   (India)

Author keywords

Endogenous; Exogenous; Nonlinear dyanamics; Recurrence plot analysis; Stock market crash

Indexed keywords

COMMERCE; FINANCIAL MARKETS; PHASE SPACE METHODS; TIME SERIES;

ENDOGENOUS; EXOGENOUS; NONLINEAR DYANAMICS; RECURRENCE PLOT; STOCK MARKET CRASHES;

TIME SERIES ANALYSIS;

EID: 76349100713     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2009.12.061     Document Type: Article

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