Recurrence Interval Analysis of Financial Time Series
Book Details
Format
Paperback / Softback
Book Series
Elements in Econophysics
ISBN-10
1009381733
ISBN-13
9781009381734
Publisher
Cambridge University Press
Imprint
Cambridge University Press
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Mar 21st, 2024
Print length
86 Pages
Weight
142 grams
Dimensions
15.10 x 22.90 x 0.80 cms
Product Classification:
Physics
Ksh 3,250.00
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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.
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.
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