tailieunhanh - Recurrence quantication analysis of global stock markets

The first point is that you want to only daytrade stocks that are doing at least 500,000 shares per day. The more,the better. Large overall daily volume in the stock makes it easier for you to get in and get out in rapid fashion which is of the utmost importance when your timeframe for holding the trade is short. If the stock is not trading much, you do not want to be the one holding the bag when you cannot get out because there is just nobody supporting the bid. The second factor when. | Recurrence quantification analysis of global stock markets Joao A. Bastos Jorge Caiado CEMAPRE ISEG Technical University of Lisbon Rua do Quelhas 6 1200-781 Lisboa Portugal Abstract This study investigates the presence of deterministic dependencies in international stock markets using recurrence plots and recurrence quantification analysis RQA . The results are based on a large set of free float-adjusted market capitalization stock indices covering a period of 15 years. The statistical tests suggest that the dynamics of stock prices in emerging markets is characterized by higher values of RQA measures when compared to their developed counterparts. The behavior of stock markets during critical financial events such as the burst of the technology bubble the Asian currency crisis and the recent subprime mortgage crisis is analyzed by performing RQA in sliding windows. It is shown that during these events stock markets exhibit a distinctive behavior that is characterized by temporary decreases in the fraction of recurrence points contained in diagonal and vertical structures. Keywords Recurrence plot Recurrence quantification analysis Nonlinear dynamics International stock markets. JEL Classification C14 G01 G15 This version November 2010 1 Introduction The question of whether the seemingly random behavior exhibited by the price of financial assets and commodities is partially explained by chaotic nonlinear deterministic processes has received considerable attention by financial economists. In classical finance theory fluctuations in asset prices are driven either by homoscedastic random walks or heteroscedastic martingale difference sequences. However simple nonlinear deterministic processes can emulate price dynamics that are indiscernible from stochastic processes providing an alternative model for the behavior of asset prices. Furthermore nonlinear determinism can potentially explain large movements in financial data that linear stochastic models cannot account for

• Đầu tư Chứng khoán
• Support and Pressure
• New Financial Calculus
• Oxytocin and Myometrial
• Contractility in Labor
• Operative Vaginal Deliveries
• Preventable Patient
• Danish Patient
• Diagnostic Tool
• Lactate Level
• Amniotic Fluid