Исследование динамики финансовых временных рядов методом рекуррентного анализа

Abstract

Recurrent analysis of financial time series when the dynamics of time series is changing was carried out. On the example of time realizations of currency rates behavior of financial time series was researched. The recurrent plots were constructed and the main characteristics of time series (measure recurrence, determinism, entropy, average length of the diagonal lines) were carried out. Changing of qualitative and quantitative recurrent characteristics signals a change of trend direction is shown.