Modeling Cascading Failures in Stock Markets by a Pretopological Framework

Autor:	Ngoc Kim Khanh Nguyen, Marc Bui
Jazyk:	angličtina
Rok vydání:	2021
Předmět:	pretopology theory modeling stock market crash computational intelligent Information technology T58.5-58.64 Electronic computers. Computer science QA75.5-76.95
Zdroj:	Vietnam Journal of Computer Science, Vol 8, Iss 1, Pp 23-38 (2021)
Druh dokumentu:	article
ISSN:	2196-8888 2196-8896 21968888
DOI:	10.1142/S2196888821500019
Popis:	We introduce a computational framework, namely, a pretopological construct, for mining stock prices’ time series in order to expand a set of stocks by adding other stocks whose average correlations with the set are above a threshold. We increase the threshold with the set’s size to verify group impact in financial crises. This approach is tested by a consecutive expansion process started from a stock of Merrill Lynch & Co., and a consecutive contraction process of the rest. The test’s results and the comparison to graph theory show that our model and pretopology theory are helpful to study stock markets.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/8b7a68ce4fd341dbb3c7dff7dd6bb109 Zobrazit plný text záznamu View record in DOAJ