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<p>This paper introduces Recurrence Quantification Analysis (RQA) as a robust, interpretable framework to evaluate the dynamic behavior of cryptocurrency markets. Using optimized recurrence plot thresholds, we assess the long-term market behavior of 100 cryptocurrencies. The results show that RQA can effectively distinguish periods of stability and instability, identify structural differences between assets, and capture hidden nonlinearities that may affect market efficiency. We validate the generalizability of our method by applying it to FinTech-related indices, suggesting that RQA has potential applications beyond cryptocurrencies. These insights are relevant to investors, who require tools for navigating volatility, and regulators seeking to monitor systemic risk.</p>

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Nonlinear dynamics in cryptocurrency markets: a recurrence quantification analysis approach

  • 期刊论文

  • 出版模式：

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  • 发表日期：

    2026年6月3日

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  • Frederique J. Vanheusden,
  • Amee Kim,
  • Tiago P. Almeida,
  • Diogo C. Soriano,
  • Thanos Verousis

摘要

This paper introduces Recurrence Quantification Analysis (RQA) as a robust, interpretable framework to evaluate the dynamic behavior of cryptocurrency markets. Using optimized recurrence plot thresholds, we assess the long-term market behavior of 100 cryptocurrencies. The results show that RQA can effectively distinguish periods of stability and instability, identify structural differences between assets, and capture hidden nonlinearities that may affect market efficiency. We validate the generalizability of our method by applying it to FinTech-related indices, suggesting that RQA has potential applications beyond cryptocurrencies. These insights are relevant to investors, who require tools for navigating volatility, and regulators seeking to monitor systemic risk.