Detecting Anomalies in the Dynamics of a Market Index with Topological Data Analysis, International Journal of Systematic Innovation
"We investigate the collective behavior of a stock market by studying the dynamics of its representative index’s return, using the persistence diagram of the index return’s time-delay embedding, an approach of the Topological Data Analysis (TDA) in time series analysis. While the time-delay emb...
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2022
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oai:http:--repository.vlu.edu.vn-:123456789-2922022-10-17T10:54:03Z Detecting Anomalies in the Dynamics of a Market Index with Topological Data Analysis, International Journal of Systematic Innovation Ngoc Kim Khanh Nguyen Marc Bui anomalies detection market index persistence diagram time-delay embedding "We investigate the collective behavior of a stock market by studying the dynamics of its representative index’s return, using the persistence diagram of the index return’s time-delay embedding, an approach of the Topological Data Analysis (TDA) in time series analysis. While the time-delay embedding captures the state space of the index return’s dynamics, the persistence diagram encodes the space's topological information under different spatial resolu-tions. Therefore, based on the changes in the point distribution of the persistence diagram over time, we propose a framework to detect its extraordinary movements. Our method provides a measure for the stability level of the mar-ket’s collective behavior. After applying this method for the daily return of the S&P 500 index from 1970 to 2020, we demonstrate that the measure efficiently tracks the changes in topological information of the index re-turn. Furthermore, we can capture major American recessions when the measure exceeds a threshold. A continuous and rapid increase of the measure approaching the threshold is considered a warning of a crisis. Hence, our method provides a technical indicator for systematic risk management." 2022-10-17T03:54:03Z 2022-10-17T03:54:03Z 2021 Resource Types::text::journal::journal article http://repository.vlu.edu.vn:443/handle/123456789/292 10.6977/IJoSI.202112_6(6).0005 en_US International Journal of Systematic Innovation 2077-8767 application/pdf |
| institution |
Trường Đại học Văn Lang |
| collection |
DSpaceVLU |
| language |
en_US |
| topic |
anomalies detection market index persistence diagram time-delay embedding |
| spellingShingle |
anomalies detection market index persistence diagram time-delay embedding Ngoc Kim Khanh Nguyen Marc Bui Detecting Anomalies in the Dynamics of a Market Index with Topological Data Analysis, International Journal of Systematic Innovation |
| description |
"We investigate the collective behavior of a stock market by studying the dynamics of its representative index’s
return, using the persistence diagram of the index return’s time-delay embedding, an approach of the
Topological Data Analysis (TDA) in time series analysis. While the time-delay embedding captures the state
space of the index return’s dynamics, the persistence diagram encodes the space's topological information under
different spatial resolu-tions. Therefore, based on the changes in the point distribution of the persistence diagram
over time, we propose a framework to detect its extraordinary movements. Our method provides a measure for
the stability level of the mar-ket’s collective behavior. After applying this method for the daily return of the S&P
500 index from 1970 to 2020, we demonstrate that the measure efficiently tracks the changes in topological
information of the index re-turn. Furthermore, we can capture major American recessions when the measure
exceeds a threshold. A continuous and rapid increase of the measure approaching the threshold is considered a
warning of a crisis. Hence, our method provides a technical indicator for systematic risk management." |
| format |
Resource Types::text::journal::journal article |
| author |
Ngoc Kim Khanh Nguyen Marc Bui |
| author_facet |
Ngoc Kim Khanh Nguyen Marc Bui |
| author_sort |
Ngoc Kim Khanh Nguyen |
| title |
Detecting Anomalies in the Dynamics of a Market Index with Topological Data Analysis, International Journal of Systematic Innovation |
| title_short |
Detecting Anomalies in the Dynamics of a Market Index with Topological Data Analysis, International Journal of Systematic Innovation |
| title_full |
Detecting Anomalies in the Dynamics of a Market Index with Topological Data Analysis, International Journal of Systematic Innovation |
| title_fullStr |
Detecting Anomalies in the Dynamics of a Market Index with Topological Data Analysis, International Journal of Systematic Innovation |
| title_full_unstemmed |
Detecting Anomalies in the Dynamics of a Market Index with Topological Data Analysis, International Journal of Systematic Innovation |
| title_sort |
detecting anomalies in the dynamics of a market index with topological data analysis, international journal of systematic innovation |
| publishDate |
2022 |
| url |
http://repository.vlu.edu.vn:443/handle/123456789/292 |
| work_keys_str_mv |
AT ngockimkhanhnguyen detectinganomaliesinthedynamicsofamarketindexwithtopologicaldataanalysisinternationaljournalofsystematicinnovation AT marcbui detectinganomaliesinthedynamicsofamarketindexwithtopologicaldataanalysisinternationaljournalofsystematicinnovation |
| _version_ |
1792767687152107520 |