Book ChapterDOI
Understanding the Interrelationship Between Commodity and Stock Indices Daily Movement Using ACE and Recurrence Analysis
Kousik Guhathakurta,Norbert Marwan,Basabi Bhattacharya,A. Roy Chowdhury +3 more
- pp 211-230
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TLDR
In this article, the authors analyzed the complex dynamics of the daily variation of two indices of stock and commodity exchange respectively of India and the US market and found that the dynamics of Indian stock and commodities exchanges have a lagged correlation while those of US market have a lead correlation and a weaker correlation.Abstract:
The relationship between the temporal evolution of the commodity market and the stock market has long term implications for policy makers, and particularly in the case of emerging markets, the economy as a whole. We analyze the complex dynamics of the daily variation of two indices of stock and commodity exchange respectively of India. To understand whether there is any difference between emerging markets and developed markets in terms of a dynamic correlation between the two market indices, we also examine the complex dynamics of stock and commodity indices of the US market. We compare the daily variation of the commodity and stock prices in the two countries separately. For this purpose we have considered commodity India along with Dow Jones Industrial Average (DJIA) and Dow Jones-AIG Commodity (DJ-AIGCI) indices for stock and commodities, USA, from June 2005 to August 2008. To analyse the dynamics of the time variation of the indices we use a set of analytical methods based on recurrence plots. Our studies show that the dynamics of the Indian stock and commodity exchanges have a lagged correlation while those of US market have a lead correlation and a weaker correlation.read more
Citations
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Measuring the intermittent synchronicity of macroeconomic growth in Europe. ACES Cases No. 2010.1
TL;DR: The results show that synchronization of growth rates were higher among the euro area member states during the second half of the 1980s and from 1997 to roughly 2002, suggesting that apart from specific times when European integration initiatives were being implemented, globalization was likely the dominant factor behind international business cycle synchronization.
Nonlinear Dynamics Chaos And Econometrics
TL;DR: The nonlinear dynamics chaos and econometrics is universally compatible with any devices to read and is available in the digital library an online access to it is set as public so you can download it instantly.
Journal ArticleDOI
Recurrence network modeling and analysis of spatial data.
TL;DR: Experimental results show that the generalized recurrence network approach yields superior performance in the visualization of recurrence patterns in spatial data and in the extraction of salient features to characterize recurrence dynamics in spatial systems.
Book ChapterDOI
Restoring Corrupted Cross-Recurrence Plots Using Matrix Completion: Application on the Time-Synchronization Between Market and Volatility Indexes
TL;DR: In this paper, a matrix completion based approach is proposed to restore the corrupted cross-recurrence plot (CRP) prior to the estimation of the time-synchronization relationship.
Journal ArticleDOI
Predicting the State of Synchronization of Financial Time Series Using Cross Recurrence Plots
TL;DR: The cross-recurrence plot analysis is used as a nonlinear method for quantifying the multidimensional coupling in the time domain of two time series and for determining their state of synchronization.
References
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