Recurrence Plots of Exchange Rates of Currencies

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.

Recurrence Plots of Geolocated Time Series from Satellite Maps of NOAA STAR Vegetation Health Index

“…However, it seems more relevant the presence of an autoregressive process. In statistics, an autoregressive model is a representation of a type of random process where the output variable depends linearly on its own previous values and on a stochastic term (see [20] and references therein). In an auto-regressive process, a shock affects the evolving variable far into the future.…”