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Series:   Elements in Econophysics

Recurrence Interval Analysis of Financial Time Series

Published online by Cambridge University Press:  20 February 2024

Wei-Xing Zhou ,
Zhi-Qiang Jiang  and
Wen-Jie Xie
Wei-Xing Zhou
Affiliation:
East China University of Science and Technology
Zhi-Qiang Jiang
Affiliation:
East China University of Science and Technology
Wen-Jie Xie
Affiliation:
East China University of Science and Technology

Summary

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.
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Keywords

econophysicsrecurrence intervalfinancial time seriesscaling behaviormulti-scaling behaviorrisk estimationearly warning
Type
Element
Information
Series: Elements in Econophysics
Online ISBN: 9781009381741
Publisher: Cambridge University Press
Print publication: 21 March 2024

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Recurrence Interval Analysis of Financial Time Series
  • Wei-Xing Zhou, East China University of Science and Technology, Zhi-Qiang Jiang, East China University of Science and Technology, Wen-Jie Xie, East China University of Science and Technology
  • Online ISBN: 9781009381741
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Recurrence Interval Analysis of Financial Time Series
  • Wei-Xing Zhou, East China University of Science and Technology, Zhi-Qiang Jiang, East China University of Science and Technology, Wen-Jie Xie, East China University of Science and Technology
  • Online ISBN: 9781009381741
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Recurrence Interval Analysis of Financial Time Series
  • Wei-Xing Zhou, East China University of Science and Technology, Zhi-Qiang Jiang, East China University of Science and Technology, Wen-Jie Xie, East China University of Science and Technology
  • Online ISBN: 9781009381741
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