Recurrence analysis of the NASDAQ crash of April 2000

Authors: Annalisa Fabretti, Marcel Ausloos

"Practical Fruits of Econophysics", H. Takayasu, Ed. (Springer, Tokyo, 2006) pp. 257-261
arXiv: physics/0505170v1 - DOI (physics.soc-ph)
5 pages, 3 figures, 1 table, 12 references, to be published in "Fruits of Econophysics", H. Takayasu, Ed. Springer 2005
License: not stated (all rights reserved)

Abstract: Recurrence Plot (RP) and Recurrence Quantification Analysis RQA) are signal numerical analysis methodologies able to work with non linear dynamical systems and non stationarity. Moreover they well evidence changes in the states of a dynamical system. It is shown that RP and RQA detect the critical regime in financial indices (in analogy with phase transition) before a bubble bursts, whence allowing to estimate the bubble initial time. The analysis is made on NASDAQ daily closing price between Jan. 1998 and Nov. 2003. The NASDAQ bubble initial time has been estimated to be on Oct. 19, 1999.

Submitted to arXiv on 24 May. 2005

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