Recurrence Interval Analysis of Financial Time Series
Recurrence Interval Analysis of Financial Time Series
Zhi-Qiang Jiang, East China University of Science and Technology
Wen-Jie Xie, East China University of Science and Technology
Looking for an examination copy?
If you are interested in the title for your course we can consider offering an examination copy. To register your interest please contact [email protected] providing details of the course you are teaching.
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.
Product details
March 2024Paperback
9781009381734
86 pages
228 × 152 × 5 mm
0.15kg
Available
Table 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.
