Recurrence Plots of Exchange Rates of Currencies

descriptionPublicationkeyboard_double_arrow_right Article , Preprint , Other literature type 01 Jan 2014Embargo end date: 01 Jan 2014 Italy English Publisher:Alkhaer PublicationsJournal:International Journal of Sciences, volume 0, pages 87-95 (issn: 2410-4477, eissn: 2305-3925,

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Authors: SPARAVIGNA, Amelia Carolina;

doi: 10.18483/ijsci.545 , 10.5281/zenodo.3348760 , 10.48550/arxiv.1408.4746 , 10.5281/zenodo.3348761

arXiv: 1408.4746

handle: 11583/2557745

Recurrence Plots of Exchange Rates of Currencies

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Abstract

Used to investigate the presence of distinctive recurrent behaviours in natural processes, the recurrence plots can be applied to the analysis of economic data, and, in particular, to the characterization of exchange rates of currencies too. In this paper, we will show that these plots are able to characterize the periods of oscillation and random walk of currencies and enhance their reply to news and events, by means of texture transitions. The examples of recurrence plots given here are obtained from time series of exchange rates of Euro.Read Complete Article at ijSciences: V3201406545 AND DOI: http://dx.doi.org/10.18483/ijSci.545

Country

Italy

Related Organizations

Polytechnic University of Turin
Italy

Keywords

Statistical Finance (q-fin.ST), Currencies, Euro, GB Pound, Quantitative Finance - Statistical Finance, Exchange Rates, Recurrence plots; Recurrence plot properties; Texture transitions; Currencies; Euro; GB Pound; Japanese Yen; US Dollar; Exchange rates; Autoregressive models, Japanese Yen, Texture Transitions, FOS: Economics and business, Recurrence Plots, US Dollar, Autoregressive Models, Econometrics

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