相关论文: Predicting the State of Synchronization of Financi…

The method of recurrence plots is extended to the cross recurrence plots (CRP), which among others enables the study of synchronization or time differences in two time series. This is emphasized in a distorted main diagonal in the cross…

In order to figure out and to forecast the emergence phenomena of social systems, we propose several probabilistic models for the analysis of financial markets, especially around a crisis. We first attempt to visualize the collective…

This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to test the hypothesis that one time series has no directional predictability to another time series. We establish the…

Recurrence plot based time series analysis is widely used to study changes and transitions in the dynamics of a system or temporal deviations from its overall dynamical regime. However, most studies do not discuss the significance of the…

Recurrence is a fundamental property of dynamical systems, which can be exploited to characterise the system's behaviour in phase space. A powerful tool for their visualisation and analysis called recurrence plot was introduced in the late…

The aim of this article is to briefly review and make new studies of correlations and co-movements of stocks, so as to understand the "seasonalities" and market evolution. Using the intraday data of the CAC40, we begin by reasserting the…

The dynamics of the equal-time cross-correlation matrix of multivariate financial time series is explored by examination of the eigenvalue spectrum over sliding time windows. Empirical results for the S&P 500 and the Dow Jones Euro Stoxx 50…

Time series forecasting is often fundamental to scientific and engineering problems and enables decision making. With ever increasing data set sizes, a trivial solution to scale up predictions is to assume independence between interacting…

Couplings in complex real-world systems are often nonlinear and scale-dependent. In many cases, it is crucial to consider a multitude of interlinked variables and the strengths of their correlations to adequately fathom the dynamics of a…

Recurrence plots exhibit line structures which represent typical behaviour of the investigated system. The local slope of these line structures is connected with a specific transformation of the time scales of different segments of the…

A new approach is proposed to the integrated analysis of the time structure of synchronization of multidimensional chaotic systems. The method allows one to diagnose and quantitatively evaluate the intermittency characteristics during…

We report evidence of a deep interplay between cross-correlations hierarchical properties and multifractality of New York Stock Exchange daily stock returns. The degree of multifractality displayed by different stocks is found to be…

Suppose we are given a system of coupled oscillators on an unknown graph along with the trajectory of the system during some period. Can we predict whether the system will eventually synchronize? Even with a known underlying graph…

In this paper we propose an Ising model which simulates multiple financial time series. Our model introduces the interaction which couples to spins of other systems. Simulations from our model show that time series exhibit the volatility…

Cross-spectral analysis is a mathematical tool for extracting the power spectral density of a correlated signal from two time series in the presence of uncorrelated interfering signals. We demonstrate and explain a set of conditions where…

Recurrence plots (RPs) are powerful tools for visualizing time series dynamics; however, traditional Recurrence Quantification Analysis (RQA) often relies on global metrics, such as line counting, that can overlook system-specific,…

We examine a system of N=2 coupled non-linear delay-differential equations representing financial market dynamics. In such time delay systems, coupled oscillations have been derived. We linearize the system for small time delays and study…

In this dissertation, the main goal is visualisation of financial time series. We expect that visualisation of financial time series will be a useful auxiliary for technical analysis. Firstly, we review the technical analysis methods and…

The presence of significant cross-correlations between the synchronous time evolution of a pair of equity returns is a well-known empirical fact. The Pearson correlation is commonly used to indicate the level of similarity in the price…

We review the state of the art of clustering financial time series and the study of their correlations alongside other interaction networks. The aim of this review is to gather in one place the relevant material from different fields, e.g.…