Politická ekonomie 2009, 57(3):305-322 | DOI: 10.18267/j.polek.686

Vizuální nelineární rekurentní analýza

Jan Kodera, Tran Van Quang
Centrum základního výzkumu pro dynamickou ekonomii a ekonometrii, Vysoká škola ekonomická v Praze.

Visual Recurrence Analysis and its Application

The aim of the article is to answer the question if the Czech stock market price dynamics is generated by non-linear deterministic dynamic process. To solve this complex problem requires using sophisticated computational operations to analyze huge amount of data input. To overcome this obstacle the visual recurrence analysis is applied in this article. This method enables visualization of the state space reconstructed from a time series in the so called recurrent plot. Further, it quantifies various geometric structures occurred in recurrent plots and gives us more exact information about the nature of the underlying process generating the time series. This analysis is then applied to the most liquid stock returns and the Czech stock market index PX series

Keywords: Czech Stock Market, nonlinear deterministic dynamics, Lorenz attractor, visual recurrence analysis, recurrence plot, quantitative recurrence analysis, finance time series
JEL classification: C33, G19

Published: June 1, 2009  Show citation

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Kodera, J., & Van Quang, T. (2009). Visual Recurrence Analysis and its Application. Politická ekonomie, 57(3), 305-322. doi: 10.18267/j.polek.686
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