DEFINITION OF DISTANCE FOR MARKED POINT PROCESS DATA AND ITS APPLICATION TO RECURRENCE PLOT-BASED ANALYSIS OF EXCHANGE TICK DATA OF FOREIGN CURRENCIES
DEFINITION OF DISTANCE FOR MARKED POINT PROCESS DATA AND ITS APPLICATION TO RECURRENCE PLOT-BASED ANALYSIS OF EXCHANGE TICK DATA OF FOREIGN CURRENCIES
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DOI：
10.1142/s0218127410027970
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发表时间：
2010-11-01
影响因子：
2.2
通讯作者：
Aihara, Kazuyuki
中科院分区：
文献类型：
--
作者：
Suzuki, Satoshi;Hirata, Yoshito;Aihara, Kazuyuki
递归图是分析非平稳时间序列的有效方法。此外，希望使基于递归图的分析适用于标记点过程数据，例如外汇滴答数据。在本文中，我们定义了标记点过程数据的距离，为进一步分析奠定了基础。我们还使用递归图和随机洗牌代理方法证明外汇tick数据具有序列依赖性。
Recurrence plots are effective in analyzing nonstationary time series. Further, it is desirable to make the recurrence plot-based analysis applicable to marked point process data such as foreign exchange tick data. In this paper, we define a distance for marked point process data and establish the basis for further analyses. We also show that foreign exchange tick data have serial dependence using recurrence plots and the random shuffle surrogate method.