Recurrence analysis of the NASDAQ crash of April 2000

Annalisa Fabretti and Marcel Ausloos

Papers from arXiv.org

Abstract: Recurrence Plot (RP) and Recurrence Quantification Analysis RQA) are signal numerical analysis methodologies able to work with non linear dynamical systems and non stationarity. Moreover they well evidence changes in the states of a dynamical system. It is shown that RP and RQA detect the critical regime in financial indices (in analogy with phase transition) before a bubble bursts, whence allowing to estimate the bubble initial time. The analysis is made on NASDAQ daily closing price between Jan. 1998 and Nov. 2003. The NASDAQ bubble initial time has been estimated to be on Oct. 19, 1999.

Date: 2005-05
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Published in "Practical Fruits of Econophysics", H. Takayasu, Ed. (Springer, Tokyo, 2006) pp. 257-261

Downloads: (external link)
http://arxiv.org/pdf/physics/0505170 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:physics/0505170

Access Statistics for this paper

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