Recurrence Interval Analysis of Financial Time Series

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Wei-Xing Zhou (East China University of Science and Technology) Zhi-Qiang Jiang (East China University of Science and Technology)

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)

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English

Cambridge University Press
21 March 2024

Social impact of disasters; Economics; Financial crises & disasters; Knowledge management; Statistical physics

Series: Elements in Econophysics

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.

By: 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)
Imprint: Cambridge University Press
Country of Publication: United Kingdom
Dimensions: Height: 228mm, Width: 152mm, Spine: 5mm
Weight: 150g
ISBN: 9781009381734
ISBN 10: 1009381733
Series: Elements in Econophysics
Pages: 86
Publication Date: 21 March 2024
Audience: General/trade , ELT Advanced
Format: Paperback
Publisher's Status: Active

1. Introduction; 2. Recurrence interval distributions; 3. Memory effects; 4. Risk estimation and forecasting; 5. Empirical results and theoretical analyses; 6. Final remarks; References.