Recurrence Interval Analysis of Financial Time Series
Series: Elements in Econophysics;
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Product details:
- Publisher Cambridge University Press
- Date of Publication 21 March 2024
- ISBN 9781009486613
- Binding Hardback
- No. of pages86 pages
- Size 235x160x10 mm
- Weight 273 g
- Language English 538
Categories
Short description:
Provides a detailed description of the techniques and research framework of recurrence interval analysis of financial time series.
MoreLong 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.
MoreTable of Contents:
1. Introduction; 2. Recurrence interval distributions; 3. Memory effects; 4. Risk estimation and forecasting; 5. Empirical results and theoretical analyses; 6. Final remarks; References.
More
