Recurrence analysis near the NASDAQ crash of April 2000

  • Annalisa Fabretti
  • Marcel Ausloos

Summary

Recurrence Plot (RP) and Recurrence Quantification Analysis (RQA) are signal numerical analysis methodologies able to work with non linear dynamical systems and non stationarity. Moreover they well evidence changes in the states of a dynamical system. It is shown that RP and RQA detect the critical regime in financial indices (in analogy with phase transitions) before a bubble bursts, whence allowing to estimate the bubble initial time. The analysis is made on NASDAQ daily closing price between Jan. 1998 and Nov. 2003. The NASDAQ bubble initial time has been estimated to be on Oct. 19, 1999.

Key words

Endogenous crash Financial bubble Recurrence Plot Recurrence Quantification Analysis Nonlinear Time Series Analysis NASDAQ 

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Copyright information

© Springer-Verlag Tokyo 2006

Authors and Affiliations

  • Annalisa Fabretti
    • 1
  • Marcel Ausloos
    • 2
  1. 1.Department of Mathematics for Economy, Insurances and Finance ApplicationsUniversity of RomaRomeItaly
  2. 2.SUPRATECS, B5University of LiègeLiègeEuroland

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