Recurrence quantification analysis of global stock markets

Physica A: Statistical Mechanics and its Applications

Volumn 390, Issue 7, 2011, Pages 1315-1325

  Bastos, João A ^a   Caiado, Jorge ^a  

^a UNIVERSITY OF LISBON   (Portugal)

Author keywords

International stock markets; Nonlinear dynamics; Recurrence plot; Recurrence quantification analysis

Indexed keywords

COMMERCE; DYNAMICS; MULTIVARIABLE CONTROL SYSTEMS;

EMERGING MARKETS; GLOBAL STOCK MARKETS; INTERNATIONAL STOCK MARKETS; MARKET CAPITALIZATION; RECURRENCE PLOT; RECURRENCE QUANTIFICATION ANALYSIS; SUBPRIME MORTGAGE CRISIS; VERTICAL STRUCTURES;

FINANCIAL MARKETS;

EID: 79551500759     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2010.12.008     Document Type: Article

References (30)

1. D.A. Hsieh Chaos and nonlinear dynamics: application to financial markets The Journal of Finance 46 1991 1839 1877
2. A.W. Lo, and A.C. MacKinlay Stock market prices do not follow random walks: evidence from a simple specification test The Review of Financial Studies 1 1988 41 66
3. E.F. Fama, and K.R. French Permanent and temporary components of stock prices The Journal of Political Economy 96 1988 246 273
4. J.M. Potterba, and L.H. Summers Mean reversion in stock prices Journal of Financial Economics 22 1988 27 59
5. W.A. Barnett, and A. Serletis Martingales, nonlinearity, and chaos Journal of Economic Dynamics & Control 24 2000 703 724
6. A. Abhyankar, L.S. Copeland, and W. Wong Uncovering nonlinear structure in real-time stock-market indexes: the S&P 500, the DAX, the Nikkei 225, and the FTSE-100 Journal of Business and Economic Statistics 15 1997 1 14
7. J.-P. Eckmann, A.O. Kamphorst, and D. Ruelle Recurrence plots of dynamical systems Europhysics Letters 5 1987 973 977
8. J.P. Zbilut Jr., and C.L. Webber Embeddings and delays as derived from quantification of recurrence plots Physics Letters A 171 1992 199 203
9. C.L. Webber Jr., and J.P. Zbilut Dynamical assessment of physiological systems and states using recurrence plot strategies Journal of Applied Physiology 76 1994 965 973
10. N. Marwan, N. Wessel, U. Meyerfeldt, A. Schirdewan, and J. Kurths Recurrence-plot-based measures of complexity and its application to heart-rate variability Physical Review E 66 2002 026702
11. N. Marwan, M.C. Romano, M. Thiel, and J. Kurths Recurrence plots for the analysis of complex systems Physics Reports 438 2007 237 329
12. C.L. Webber Jr., J.P. Zbilut, Recurrent structuring of dynamical and spatial systems, in: Colosimo, A. (Ed.), Complexity in the Living: A Modelistic Approach, 1998, pp. 101133.
13. J.A. Holyst, M. Zebrowska, and K. Urbanowicz Observation of deterministic chaos in financial time series by recurrence plots, can one control chaotic economy? European Physical Journal B 20 2001 531 535
14. J.P. Zbilut, Use of recurrence quantification analysis in economic time series, in: Salzano, M., Kirman, A. (Eds.), Economics: Complex Windows, 2005, pp. 91104.
15. A. Fabretti, and M. Ausloos Recurrence plot and recurrence quantification analysis for detecting a critical regime. Examples from financial market indices International Journal of Modern Physics 16 2005 671 706
16. C. Kyrtsou, C.E. Vorlow, Complex dynamics in macroeconomics: a novel approach, in: Diebolt, C., Kyrtsou, C. (Eds.), New Trends in Macroeconomics, 2005, pp. 223238.
17. T. Aparicio, E.F. Pozo, and D. Saura Detecting determinism using recurrence quantification analysis: three test procedures Journal of Economic Behavior & Organization 65 2008 768 787
18. K. Guhathakurta, B. Bhattacharya, and A.R. Chowdhury Using recurrence plot analysis to distinguish between endogenous and exogenous stock market crashes Physica A 389 2010 1874 1882
19. J. Belaire-Franch, D. Contreras, and L. Tordera-Lledo Assessing nonlinear structures in real exchange rates using recurrence plot strategies Physica D 171 2002 249 264
20. F. Strozzi, J.-M. Zaldivar, and J.P. Zbilut Application of nonlinear time series analysis techniques to high-frequency currency exchange data Physica A 312 2002 520 538
21. F. Strozzi, J.-M. Zaldivar, and J.P. Zbilut Recurrence quantification analysis and state space divergence reconstruction for financial time series analysis Physica A 376 2007 487 499
22. F. Strozzi, E. Gutirrez, C. No, T. Rossi, M. Serati, and J.M. Zaldvar Measuring volatility in the Nordic spot electricity market using recurrence quantification analysis The European Physical JournalSpecial Topics 164 2008 105 115
23. F. Takens Detecting strange attractors in turbulence D. Rand, L. Young, Dynamical Systems and Turbulence 1981 Springer Berlin 366 381
24. L. Cao Pratical methods for determining the minimum embedding dimension of a scalar time series Physica D 110 1997 43 50
25. S. Schinkel, O. Dimigen, and N. Marwan Selection of recurrence threshold for signal detection European Physical Journal Special Topics 164 2008 45 53
26. J. Iwanski, and E. Bradley Recurrence plot analysis: to embed or not to embed? Chaos 8 1998 861 871
27. S. Schinkel, N. Marwan, O. Dimigen, and J. Kurths Confidence bounds of recurrence-based complexity measured Physics Letters A 2009 2245 2250
28. N. Marwan, How to avoid potential pitfalls in recurrence plot based data analysis, arXiv:1007.2215v1 [nlin.CD].
29. J.A. Bastos, J. Caiado, Clustering global equity markets with variance ratio tests, CEMAPRE Working paper 0904, 2009.
30. L.L. Trulla, A. Giuliani, J.P. Zbilut, and C.L. Webber Jr. Recurrence quantification analysis of the logistic equation with transients Physics Letters A 223 1996 255 260