金融市场的拓扑变异性

IF 3.2 Q1 BUSINESS, FINANCE
Aaron D. Valdivia
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引用次数: 0

摘要

我们通过持续同源性和持续景观规范的镜头来研究市场崩溃和衰退。使用Yahoo!我们发现,在历史事件之前,持久性景观规范的变化以及其他持久性措施表现出显着的增加,然后下降。我们表明,除了更复杂的工具(如持久性景观规范)之外,持久性同源性的基本描述可能是有用的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Topological variability in financial markets
We investigate market crashes and downturns through the lens of persistent homology and persistence landscape norms. Using individual stock price data from Yahoo! Finance, we find that the variation in the persistence landscape norm as well as other measures of persistence exhibit a marked increase followed by a decline prior to historic incidents. We show that basic descriptions of persistent homology may be useful in addition to more sophisticated tools like the persistence landscape norm.
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来源期刊
CiteScore
0.30
自引率
1.90%
发文量
14
审稿时长
12 weeks
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