document: Application of nonlinear time series analysis techniques to high-frequency currency exchange data In this work we have applied nonlinear time series analysis to high-frequency currency exchange data . The time series studied are the exchange rates between the US Dollar and 18 other foreign currencies from within and without the Euro zone . Our goal was to determine if their dynamical behaviours were in some way correlated . The nonexistence of stationarity called for the application of recurrence quantification analysis as a tool for this analysis , and is based on the definition of several parameters that allow for the quantification of recurrence plots . The method was checked using the European Monetary System currency exchanges . The results show , as expected , the high correlation between the currencies that are part of the Euro , but also a strong correlation between the Japanese Yen , the Canadian Dollar and the British Pound . Singularities of the series are also demonstrated taking into account historical events , in 1996 , in the Euro zone
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