Antoniou, Antonios; Vorlow, Constantinos E. - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 1, pp. 257-262
In this paper we investigate for the presence of non-stochastic, possibly nonlinear deterministic dynamical cycles in financial time series. Evidence of nonlinear dynamics is revealed in denoised daily stock market index returns for six countries by combining Recurrence Quantification Analysis...