Recurrence plots of exchange rates of currencies

Amelia Carolina Sparavigna

Papers from arXiv.org

Abstract: Used to investigate the presence of distinctive recurrent behaviours in natural processes, the recurrence plots can be applied to the analysis of economic data, and, in particular, to the characterization of exchange rates of currencies too. In this paper, we will show that these plots are able to characterize the periods of oscillation and random walk of currencies and enhance their reply to news and events, by means of texture transitions. The examples of recurrence plots given here are obtained from time series of exchange rates of Euro.

Date: 2014-07
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in The International Journal of Sciences, 2014, Volume 3, Issue 7, Pages 87-95

Downloads: (external link)
http://arxiv.org/pdf/1408.4746 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1408.4746

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().