Forecasting abrupt changes in foreign exchange markets: method using dynamical network marker

Forecasting abrupt changes in foreign exchange markets: method using dynamical network marker

We apply the idea of dynamical network markers (Chen et al 2012 Sci. Rep. http://dx.doi.org/10.1038/srep00342 ) to foreign exchange markets so that early warning signals can be provided for any abrupt changes. The dynamical network marker constructed achieves a high odds ratio for forecasting these...

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Bibliographic Details
Main Authors: Shunsuke Oya, Kazuyuki Aihara, Yoshito Hirata
Format: Article
Language:English
Published: IOP Publishing 2014-01-01
Series:New Journal of Physics
Subjects:
early warning signals
econophysics
foreign exchange markets
delay coordinates
recurrence plots
Online Access:https://doi.org/10.1088/1367-2630/16/11/115015

Internet

https://doi.org/10.1088/1367-2630/16/11/115015

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