Predicting the State of Synchronization of Financial Time Series using Cross Recurrence Plots. (arXiv:2210.14605v1 [q-fin.ST])

Cross-correlation analysis is a powerful tool for understanding the mutual
dynamics of time series. This study introduces a new method for predicting the
future state of synchronization of the dynamics of two financial time series.
To this end, we use the cross-recurrence plot analysis as a nonlinear method
for quantifying the multidimensional coupling in the time domain of two time
series and for determining their state of synchronization. We adopt a deep
learning framework for methodologically addressing the prediction of …

arxiv financial series state synchronization time series