RQA Application for the Monitoring of Financial and Commodity markets state

Sergii Piskun, Oleksandr Piskun and Dmitry Chabanenko

Papers from arXiv.org

Abstract: 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.

Date: 2011-12
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