WIT Press


Visual Recurrence Analysis As An Alternative Framework For Time Series Characterisation

Price

Free (open access)

Paper DOI

10.2495/CF040231

Volume

38

Pages

11

Published

2004

Size

3,945 kb

Author(s)

B. Pecar

Abstract

Basic recurrence plot analysis has been extensively used as a technique for characterising financial time series. In this paper we examine recurrence plots of two of the most fundamental processes, i.e. the white noise process and the Wiener process. These recurrence plots are also used to ‘catalogue’ typical behaviour for different time lags for these two processes. The graphs are then used as a template to compare the recurrence graphs of the returns on eight reallife data sets taken from the NYSE. Keywords: VRA, visual recurrence analysis, recurrence plots, non-linear time series analysis, deterministic systems. 1 Introduction Rescaled range analysis and recurrence plots are some of the techniques that have been introduced over recent years for characterising financial time series. Today, primarily thanks to various software packages freely available f

Keywords