Recurrence Interval Analysis of Financial Time Series

Authors: Zhou Weixing, Jiang Zhiqiang, Xie Wenjie

Affiliation: School of Business

Publisher: Cambridge University Press

Publication Year: 2024

ISBN: 978-1-009-38173-3

Extreme events are prevalent in nature and society, encompassing natural disasters, accidents, public health crises (such as Ebola and the COVID-19 pandemic), and public safety incidents (including wars, conflicts, and social unrest). These extreme events have a profound impact on financial markets, often resulting in extreme fluctuations in financial time series. Given the unpredictability of these events, which lack sufficient statistics, forecasting them is particularly challenging. Recurrence interval analysis offers a practical approach for risk assessment and prediction. This book provides a systematic description of the techniques and research framework of recurrence interval analysis of financial time series. Additionally, the authors provide insights into potential future research topics in this area.