| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10482149 | Physica A: Statistical Mechanics and its Applications | 2012 | 13 Pages |
Abstract
⺠We analyze connections between nine stock indices spread worldwide. ⺠We extend the correlation of probability of recurrence (CPR), a recurrence-based measure, to estimate the connectivities reliably. ⺠We find cycles of strong-weak connections, but not ever-increasing connectivity. ⺠Time-shifted markets show high connectivity around the dot-com bubble. ⺠Our method is robust to noise, short data sets, and low sampling frequency.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
B. Goswami, G. Ambika, N. Marwan, J. Kurths,