Recurrence Interval Analysis of Financial Time Series / Wei-Xing Zhou, Zhi-Qiang Jiang, and Wen-Jie Xie.

Format:

Book

Author/Creator:

Zhou, Wei-Xing, author.

Jiang, Zhi-Qiang, author.

Xie, Wen-Jie, author.

Series:

Elements in Econophysics Series

Language:

English

Subjects (All):

Business mathematics.

Interval analysis (Mathematics).

Recurrent sequences (Mathematics).

Time-series analysis.

Physical Description:

1 online resource (76 pages) : digital, PDF file(s).

Edition:

First edition.

Place of Publication:

Cambridge University Press 2024

Cambridge, England : Cambridge University Press, [2024]

Summary:

"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"-- Provided by publisher

Contents:

Introduction

Recurrence interval distributions

Memory effects

Risk estimation and forecasting

Empirical results and theoretical analyses

Final remarks

Notes:

Title from publisher's bibliographic system (viewed on 22 Feb 2024).

Description based on print version record.

Includes bibliographical references.

ISBN:

9781009381741

1009381741

9781009381758

100938175X