Recurrence Plots of Exchange Rates of Currencies

Recurrence Plots of Exchange Rates of Currencies

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Author(s)

Author(s): Amelia Carolina Sparavigna

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DOI: 10.18483/ijSci.545 404 1001 87-95 Volume 3 - Jul 2014

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.

Keywords

Recurrence Plots, Texture Transitions, Currencies, Euro, US Dollar, GB Pound, Japanese Yen, Exchange Rates, Autoregressive Models, Econometrics

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International Journal of Sciences is Open Access Journal.
This article is licensed under a Creative Commons Attribution 4.0 International (CC BY 4.0) License.
Author(s) retain the copyrights of this article, though, publication rights are with Alkhaer Publications.

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