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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Book
Neural Networks in the Capital Markets
TL;DR: The author takes a pragmatic view of neural networks, treating them as computationally equivalent to well-understood, non-parametric inference methods in decision science and makes comparisons with established techniques where appropriate.
Journal ArticleDOI
Recurrence-based time series analysis by means of complex network methods
Reik V. Donner,Michael Small,Jonathan F. Donges,Jonathan F. Donges,Norbert Marwan,Yong Zou,Ruoxi Xiang,Jürgen Kurths,Jürgen Kurths +8 more
TL;DR: Complex network measures are shown to provide information about structural features of dynamical systems that are complementary to those characterized by other methods of time series analysis and substantially enrich the knowledge gathered from other existing approaches.
Journal ArticleDOI
Recurrence-based time series analysis by means of complex network methods
Reik V. Donner,Michael Small,Jonathan F. Donges,Jonathan F. Donges,Norbert Marwan,Yong Zou,Ruoxi Xiang,Jürgen Kurths,Jürgen Kurths +8 more
TL;DR: In this article, the potentials and limitations of the individual methods are discussed and illustrated for paradigmatic examples of dynamical systems as well as for real-world time series, with a special emphasis on methods founded on recurrence plots.
Journal ArticleDOI
A historical review of recurrence plots
Norbert Marwan,Norbert Marwan +1 more
TL;DR: After 20 years of RPs it is time to summarise this development in a historical context.
Journal ArticleDOI
A single-blind controlled competition among tests for nonlinearity and chaos
William A. Barnett,A. Ronald Gallant,Melvin J. Hinich,Jochen Jungeilges,Daniel T. Kaplan,Mark J. Jensen +5 more
TL;DR: In this article, a single-blind controlled competition among five highly regarded tests for nonlinearity or chaos with ten simulated data series was conducted, including linear processes, chaotic recursions, and nonchaotic stochastic processes.