Article

Recurrence, Laminarity and Market Stress: Testing RQA-Based Crisis Indicators During the COVID-19 Shock

2026-05-18

Abstract excerpt

Financial crises are usually identified through drawdowns, volatility and changes in returns, but these indicators do not fully describe changes in the underlying dynamical structure of markets. This study tests whether Laminarity, a measure derived from Recurrence Quantification Analysis, can provide a complementary indicator of financial market stress during the COVID-19 shock. Daily data for the Dow Jones Indus...

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Literature Corpus work: e8535718-d0fe-5b12-8948-d0d5184c6b60
DOI: 10.20944/preprints202605.1146.v1

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