Topological variability in financial markets

Autor: Aaron D Valdivia
Jazyk: angličtina
Rok vydání: 2023
Předmět:
Zdroj: Quantitative Finance and Economics, Vol 7, Iss 3, Pp 391-402 (2023)
Druh dokumentu: article
ISSN: 2573-0134
DOI: 10.3934/QFE.2023019?viewType=HTML
Popis: 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.
Databáze: Directory of Open Access Journals
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