JavaScript is disabled for your browser. Some features of this site may not work without it.
| dc.contributor.author | Piskun, Alexandr | |
| dc.contributor.author | Соловйов, Володимир Миколайович | |
| dc.contributor.author | Piskun, Sergio | |
| dc.date.accessioned | 2017-07-26T16:27:42Z | |
| dc.date.available | 2017-07-26T16:27:42Z | |
| dc.date.issued | 2009-08 | |
| dc.identifier.citation | Piskun A. V. Recurrence Quantification Analysis of Stock Market Crashes / Alexandr Piskun, Vladimir Soloviev, Sergio Piskun // Recurrence plots at the crossroad between theory and application: A flexible approach for studying complex systems : Program and Abstracts of 3rd International symposium on Recurrence Plots. August 26-28, 2009, Complex Systems Laboratory, University of Montreal, Quebec, Canada. – Montreal, 2009. – P. 19. | uk |
| dc.identifier.uri | http://elibrary.kdpu.edu.ua/handle/0564/1135 | |
| dc.identifier.uri | https://doi.org/10.31812/0564/1135 | |
| dc.description | 1. A. Fabretti and M. Ausloos, Recurrence Plot and Recurrence Quantification Analysis techniques for detecting a critical regime. Examples from financial market indices, Int. J. Mod. Phys. C 16, 2005, 671-706. 2. N. Marwan, M.C. Romano, M. Thiel, J. Kurths, Recurrence Plots for the Analysis of Complex Systems, Physics Reports, 438, 2007, 237–329. | |
| dc.description.sponsorship | In this paper we present results of crash time series analysis by means of Recurrence Quantification Analysis (RQA). The crash of NASDAQ 2000 was analyzed in [1]. For the present research the classical stock market crashes of 1929, 1987, 1994, 1997, 2000 and the current global financial crisis were taken. The application of RQA [2] allowed us to obtain next results. Measures of RQA are sensible to crash occurrence on financial markets. They quantitatively estimate different regimes of financial market functioning: market normal functioning; market instability that is promoted by volatility increasing; critical regime, after which the crash occurs. Thus measures of RQA allow to develop the precursor of stockmarket crashes. Also,measures detect the time of full market relaxation that’s why it is possible to make forecast of current financial crisis ending. | uk |
| dc.language.iso | en | uk |
| dc.subject | time series | uk |
| dc.subject | Recurrence Quantification Analysis | uk |
| dc.subject | global financial crisis | uk |
| dc.subject | financial market | uk |
| dc.title | Recurrence Quantification Analysis of Stock Market Crashes | uk |
| dc.type | Article | uk |
