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Recurrence Plots and Cross Recurrence Plots

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Nonlinear Dynamics, 85(4), 2309–2352p. (2016) DOI:10.1007/s11071-016-2830-1

Multiscale recurrence plot and recurrence quantification analysis for financial time series

Y. Yin, P. Shang

This paper proposes the multiscale recurrence plot and multiscale recurrence quantification analysis (MRQA) and employs these methods to the multiscale analysis of nonlinear properties hidden in the stock markets. In the recurrence plots, some common and apparent properties are found, while we also reveal some distinctive-shaped structures indicating the relation between these stock markets. Moreover, the scale invariance of structure inherent in the financial time series is detected to some extent. Then the MRQA measures further interpret the structure shown in the recurrence plots quantitatively and show that there are more regularity in these emerging markets such as ShangZheng and ShenCheng. MRQA provides a more global perspective for the behavior of these stock markets.