Recurrence Interval Analysis of Financial Time Series PDF
by Wei-Xing (East China University of Science and Technology) Zhou, Zhi-Qiang (East China University of Science and Technology) Jiang, Wen-Jie (East China University of Science and Technology) Xie
Part of the Elements in Econophysics series
Description
Extreme events are ubiquitous in nature and social society, including natural disasters, accident disasters, crises in public health (such as Ebola and the COVID-19 pandemic), and social security incidents (wars, conflicts, and social unrest).
These extreme events will heavily impact financial markets and lead to the appearance of extreme fluctuations in financial time series.
Such extreme events lack statistics and are thus hard to predict.
Recurrence interval analysis provides a feasible solution for risk assessment and forecasting.
This Element aims to provide a systemic description of the techniques and research framework of recurrence interval analysis of financial time series.
The authors also provide perspectives on future topics in this direction.
Information
-
Download - Immediately Available
- Format:PDF
- Publisher:Cambridge University Press
- Publication Date:13/03/2024
- Category:
- ISBN:9781009381758
Information
-
Download - Immediately Available
- Format:PDF
- Publisher:Cambridge University Press
- Publication Date:13/03/2024
- Category:
- ISBN:9781009381758