Related papers: Recurrence Plot and Recurrence Quantification Anal…
Being able to forcast extreme volatility is a central issue in financial risk management. We present a large volatility predicting method based on the distribution of recurrence intervals between volatilities exceeding a certain threshold…
Several studies have focused on the Realized Range Volatility, an estimator of the quadratic variation of financial prices, taking into account the impact of microstructure noise and jumps. However, none has considered direct modeling and…
Recurrence analysis is a well settled method allowing to discern chaos from order, and determinism from noise. We apply this tool to study time series representing geodesic and inspiraling motion of a test particle in a deformed Kerr…
A main feature of a chaotic quantum system is a rigid spectrum where the levels do not cross. We discuss how the presence of level repulsion in lattice many-body quantum systems can be detected from the analysis of their time evolution…
Previous analyses of a large ensemble of stock markets have demonstrated that a log-periodic power law (LPPL) behavior of the prices constitutes a qualifying signature of speculative bubbles that often land with a crash. We detect such a…
The period-doubling sequence is one of the most well-known aperiodic $0$-$1$ sequences. In this paper, a complete description of its symbolic recurrence plot is given, and formulas for asymptotic values of basic recurrence quantifiers are…
Recurrence plot based measures of complexity are capable tools for characterizing complex dynamics. In this letter we show the potential of selected recurrence plot measures for the investigation of even high-dimensional dynamics. We apply…
We describe a Matlab routine that allows us to estimate the jumps in financial asset prices using the Threshold (or Truncation) method of Mancini (2009). The routine is designed for application to five-minute log-returns. The underlying…
This study analyzes the dynamic interactions among the NASDAQ index, crude oil, gold, and the US dollar using a reduced-order modeling approach. Time-delay embedding and principal component analysis are employed to encode high-dimensional…
We study the dynamic interactions and structural changes in global financial indices in the years 1998-2012. We apply a principal component analysis (PCA) to cross-correlation coefficients of the stock indices. We calculate the correlations…
The paper introduces a novel topological method for prediction and modeling for a nonlinear time--series that exhibit recurring patterns. According to the model, global manifold of the reconstructed state--space can be approximated by a few…
Recurrence plots provide a graphical representation of the recurrent patterns in a timeseries, the quantification of which is a relatively new field. Here we derive analytical expressions which relate the values of key statistics, notably…
In this letter we explore how recurrence quantifier, the determinism ($\Delta$), can reveal stationarity breaking and coupling between physical systems. We demonstrate that it is possible to detect small variations in a dynamical system…
This paper develops a two-step estimation methodology, which allows us to apply catastrophe theory to stock market returns with time-varying volatility and model stock market crashes. Utilizing high frequency data, we estimate the daily…
Recurrence networks and the associated statistical measures have become important tools in the analysis of time series data. In this work, we test how effective the recurrence network measures are in analyzing real world data involving two…
Open Shortest Path First (OSPF) is one of the most widely used routing protocol to manage intra-domain routing. OSPF has been identified with many serious security issues. LSA falsification is one of the most critical vulnerability that can…
We consider the behaviour of open quantum systems in dependence on the coupling to one decay channel by introducing the coupling parameter $\alpha$ being proportional to the average degree of overlapping. Under critical conditions, a…
Magnetic storms constitute the most remarkable large-scale phenomena of nonlinear magnetospheric dynamics. Studying the dynamical organization of macroscopic variability in terms of geomagnetic activity index data by means of complexity…
Chart question answering (CQA) is a task used for assessing chart comprehension, which is fundamentally different from understanding natural images. CQA requires analyzing the relationships between the textual and the visual components of a…
The emergent dynamics of complex systems often arise from the internal dynamical interactions among different elements and hence is to be modeled using multiple variables that represent the different dynamical processes. When such systems…