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Recurrence plots of exchange rates of currencies

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  • Amelia Carolina Sparavigna

Abstract

Used to investigate the presence of distinctive recurrent behaviours in natural processes, the recurrence plots can be applied to the analysis of economic data, and, in particular, to the characterization of exchange rates of currencies too. In this paper, we will show that these plots are able to characterize the periods of oscillation and random walk of currencies and enhance their reply to news and events, by means of texture transitions. The examples of recurrence plots given here are obtained from time series of exchange rates of Euro.

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  • Amelia Carolina Sparavigna, 2014. "Recurrence plots of exchange rates of currencies," Papers 1408.4746, arXiv.org.
    • Handle: RePEc:arx:papers:1408.4746
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    References listed on IDEAS

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    1. Ronald Macdonald & Mark P. Taylor, 1992. "Exchange Rate Economics: A Survey," IMF Staff Papers, Palgrave Macmillan, vol. 39(1), pages 1-57, March.
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    3. Jorge Belaire-Franch, & Dulce Contreras & Lorena Tordera-Lledo, 2002. "Assessing Non-Linear Structures in Real Exchange Rates Using Recurrence Plot Strategies," Computing in Economics and Finance 2002 239, Society for Computational Economics.
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    6. Belaire-Franch, Jorge & Contreras, Dulce, 2002. "Recurrence Plots in Nonlinear Time Series Analysis: Free Software," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 7(i09).
    7. Isard,Peter, 1995. "Exchange Rate Economics," Cambridge Books, Cambridge University Press, number 9780521466004, September.
    8. Isard,Peter, 1995. "Exchange Rate Economics," Cambridge Books, Cambridge University Press, number 9780521460477, September.
    9. Amelia Carolina Sparavigna, 2014. "Recurrence Plots from Altimetry Data of Some Lakes in Africa," International Journal of Sciences, Office ijSciences, vol. 3(07), pages 19-27, July.
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    Cited by:

    1. Amelia Carolina Sparavigna & Roberto Marazzato, 2015. "Recurrence Plots of Geolocated Time Series from Satellite Maps of NOAA STAR Vegetation Health Index," International Journal of Sciences, Office ijSciences, vol. 4(12), pages 47-54, December.
    2. Amelia Carolina Sparavigna, 2014. "Carbon Dioxide Concentration and Emissions in Atmosphere: Trends and Recurrence Plots," International Journal of Sciences, Office ijSciences, vol. 3(10), pages 8-15, October.

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