Recurrence plots analysis of the CNY exchange markets based on phase space reconstruction |
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| Institution: | 1. John Molson School of Business, Concordia University, Montreal, QC H3G 1M8, Canada;2. Faculty of Business Administration, Memorial University of Newfoundland, St. John’s NL A1B 3X5, Canada;1. Department of Economics and Quantitative Methods, Westminster Business School, University of Westminster, London NW1 5LS, UK;2. Department of Economics and IME, University of Salamanca, Salamanca, Spain;1. Escuela de Negocios, Universidad Adolfo Ibáñez, Diagonal las Torres 2640 oficina 533-C, Peñalolén, Santiago, Chile;2. Columbia Business School, Finance Division, New York, United States;3. CLAPES-UC, Santiago, Chile;4. Master of Applied Economics UCLA, United States;1. School of Economics and Commerce, South China University of Technology, Guangzhou, 510006, China;2. Department of Economics, University of California-Santa Barbara, Santa Barbara, 93106, USA;3. Department of Economics, The Chinese University of Hong Kong, Hong Kong;4. H. Milton Stewart School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, 30332, USA |
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| Abstract: | The employment of autocorrelation-based transformation to study the dynamics of the exchange rate system is meaningful because it benefits for chaotic prediction on the basis that the transformation from an exchange rate sequence to its associated autocorrelation sequence is reversible. This paper examines the influence of autocorrelation-based transformation on the systemic dynamics using exchange rates of CNY against different currencies among USD, EUR, JPY, GBP, MYR and RUB. First, we construct recurrence plots of exchange rate return sequences and autocorrelation sequences with a fixed sliding window length of 20. The recurrence quantification analysis (RQA) shows that the exchange rate return sequences exhibit lower degrees of determinism than the autocorrelation sequences. Further, by analyzing the RQA measures with bootstrap techniques and box plots, we reveal that the RQA measures of the exchange rate return systems and the autocorrelation sequence systems are mostly significant, and the vertical structures of recurrence plots of autocorrelation sequences are more sensitive to the shuffles of bootstrap techniques. Finally, we investigate the evolution of RQA measures with the changes of sliding window lengths. The analysis shows that appropriately adjusting the sliding window length can increase the systemic determinism. |
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| Keywords: | Autocorrelation Recurrence plot Determinism RQA measure Exchange rate |
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