Recurrence interval analysis of financial time series:
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 marke...
Gespeichert in:
| Beteilige Person: | |
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| Weitere beteiligte Personen: | , |
| Format: | E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Cambridge ; New York, NY
Cambridge University Press
2024
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| Schriftenreihe: | Cambridge elements. Elements in econophysics
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| Links: | https://doi.org/10.1017/9781009381741 |
| Zusammenfassung: | 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. |
| Umfang: | 1 Online-Ressource (76 Seiten) |
| ISBN: | 9781009381741 |
| ISSN: | 2754-6071 |
Internformat
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| spelling | Zhou, Wei-Xing Recurrence interval analysis of financial time series Wei-Xing Zhou, Zhi-Qiang Jiang, Wen-Jie Xie Cambridge ; New York, NY Cambridge University Press 2024 1 Online-Ressource (76 Seiten) txt c cr Cambridge elements. Elements in econophysics 2754-6071 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. Jiang, Zhi-Qiang Xie, Wen-Jie Erscheint auch als Druck-Ausgabe 9781009381734 Erscheint auch als Druck-Ausgabe 9781009486613 |
| spellingShingle | Zhou, Wei-Xing Recurrence interval analysis of financial time series |
| title | Recurrence interval analysis of financial time series |
| title_auth | Recurrence interval analysis of financial time series |
| title_exact_search | Recurrence interval analysis of financial time series |
| title_full | Recurrence interval analysis of financial time series Wei-Xing Zhou, Zhi-Qiang Jiang, Wen-Jie Xie |
| title_fullStr | Recurrence interval analysis of financial time series Wei-Xing Zhou, Zhi-Qiang Jiang, Wen-Jie Xie |
| title_full_unstemmed | Recurrence interval analysis of financial time series Wei-Xing Zhou, Zhi-Qiang Jiang, Wen-Jie Xie |
| title_short | Recurrence interval analysis of financial time series |
| title_sort | recurrence interval analysis of financial time series |
| work_keys_str_mv | AT zhouweixing recurrenceintervalanalysisoffinancialtimeseries AT jiangzhiqiang recurrenceintervalanalysisoffinancialtimeseries AT xiewenjie recurrenceintervalanalysisoffinancialtimeseries |