Aplicación de los gráficos de recurrencia al análisis de la dinámica de series temporales económicas

  1. Lucía Inglada Pérez 1
  2. Pablo Coto Millán 2
  3. Pedro Casares Hontañón 2
  4. Vicente Inglada López de Sabando 1
  1. 1 Universidad Nacional de Educación a Distancia
    info

    Universidad Nacional de Educación a Distancia

    Madrid, España

    ROR https://ror.org/02msb5n36

  2. 2 Universidad de Cantabria
    info

    Universidad de Cantabria

    Santander, España

    ROR https://ror.org/046ffzj20

Revista:
Anales de ASEPUMA

ISSN: 2171-892X

Any de publicació: 2020

Número: 28

Tipus: Article

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Altres publicacions en: Anales de ASEPUMA

Resum

Since their appearance more than three decades ago, Recurrence Plots (RPs) have become a powerful tool for data analysis. It is a graphical method that helps to reveal the existence of recurrent patterns in time series and is characterized by its ease of implementation and minimal requirements. Its use extends to the contrast of the existence of a non-linear behavior, as well as in the study of chaotic dynamics in a data series. Although initially its use as an analysis tool was closely linked to Physics and Biology, later RPs have been employed in other scientific disciplines, including economics and finance. The aim of this research is the study of the applications of RGs in the field of economics. For this purpose, an international literature review is carried out of the most relevant works which have used this tool in the analysis of economic time series. Finally, the results obtained in the application of this method to detect the type of dynamic behavior existing in the time series of the Spanish stock market are presented.

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