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Journals / Dumlupınar Üniversitesi Sosyal Bilimler Dergisi / 2010 / Cilt: 0 - Sayı: 28

Recurrence plot analysis on financial time series: ISE case

Finansal zaman serilerinde yineleme haritaları analizi: İMKB örneği

Mehmet Yunus ÇELİK
Kerim Eser AFŞAR
Pages
279–288
Publication Date
2022-10-11
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

RP and RQA supplies more functional results than traditional time series methods in order to analyze of non-linear and non-stationary structures of financial time series.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In this paper, irregular periodic dynamics of financial time series are examined by using recurrence plot analysis (RP) and recurrence quantification analysis (RQA).
📊
Key Findings & Data:In this context, ISE 100 daily index data between 1986- 2008 is divided by five sub periods then analysed.
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Conclusion & Impact:RP and RQA supplies more functional results than traditional time series methods in order to analyze of non-linear and non-stationary structures of financial time series.
🔬Design:Research Article
📍Scope:2008 Verileri
⚙️Variables:Domain Parameters

Abstract

In this paper, irregular periodic dynamics of financial time series are examined by using recurrence plot analysis (RP) and recurrence quantification analysis (RQA). In this context, ISE 100 daily index data between 1986- 2008 is divided by five sub periods then analysed. It is found that structures of financial time series have non-linear, non-stationary and irregular periodic oscillatory patterns. RP and RQA supplies more functional results than traditional time series methods in order to analyze of non-linear and non-stationary structures of financial time series.

Özet

Bu çalışmada, yineleme haritaları ve yineleme haritalarının kantitatif analizi yöntemleriyle, finansal zaman serilerindeki düzensiz periyodik davranış kalıpları incelenmiştir. Bu bağlamda İMKB 100 Endeksinin 1986-2008 yılları arasındaki günlük getiri serileri dönemlere ayrılarak analiz edilmiştir. Finansal zaman serileri, doğrusal ve durağan olmayan aynı zamanda düzensiz periyodik salınımlar gösteren bir yapıya sahiptir. Yineleme haritaları ve yineleme haritalarının kantitatif analizleri, finansal zaman serilerinin doğrusal ve durağan olmayan davranış kalıplarının ortaya çıkarılmasında geleneksel yöntemlere göre daha işlevsel sonuçlar üretmektedir.

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Cite This Article

ÇELİK, M. Y., AFŞAR, K. E. (2022). Recurrence plot analysis on financial time series: ISE case. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, Cilt: 0 - Sayı: 28, 279–288. https://ajindex.com/articles/493333

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