Multiscale recurrence quantification analysis of order recurrence plots

Mengjia Xu, Pengjian Shang and Aijing Lin

Physica A: Statistical Mechanics and its Applications, 2017, vol. 469, issue C, 381-389

Abstract: In this paper, we propose a new method of multiscale recurrence quantification analysis (MSRQA) to analyze the structure of order recurrence plots. The MSRQA is based on order patterns over a range of time scales. Compared with conventional recurrence quantification analysis (RQA), the MSRQA can show richer and more recognizable information on the local characteristics of diverse systems which successfully describes their recurrence properties. Both synthetic series and stock market indexes exhibit their properties of recurrence at large time scales that quite differ from those at a single time scale. Some systems present more accurate recurrence patterns under large time scales. It demonstrates that the new approach is effective for distinguishing three similar stock market systems and showing some inherent differences.

Keywords: Multiscale; Recurrence quantification analysis; Order recurrence plot; Dynamical system (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:469:y:2017:i:c:p:381-389

DOI: 10.1016/j.physa.2016.11.058

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