Modeling Cascading Failures in Stock Markets by a Pretopological Framework
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 impa...
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| Định dạng: | journal-article |
| Ngôn ngữ: | en_US |
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2022
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| Truy cập trực tuyến: | http://repository.vlu.edu.vn:443/handle/123456789/630 |
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oai:http:--repository.vlu.edu.vn-:123456789-6302022-11-02T09:46:54Z Modeling Cascading Failures in Stock Markets by a Pretopological Framework Ngoc Kim Khanh Nguyen Marc Bui Pretopology theory modeling stock market crash computational intelligent 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. 2022-11-02T02:46:54Z 2022-11-02T02:46:54Z 2020 journal-article http://repository.vlu.edu.vn:443/handle/123456789/630 10.1142/S2196888821500019 en_US Vietnam Journal of Computer Science 2196-8888 2196-8896 application/pdf |
| institution |
Trường Đại học Văn Lang |
| collection |
DSpaceVLU |
| language |
en_US |
| topic |
Pretopology theory modeling stock market crash computational intelligent |
| spellingShingle |
Pretopology theory modeling stock market crash computational intelligent Ngoc Kim Khanh Nguyen Marc Bui Modeling Cascading Failures in Stock Markets by a Pretopological Framework |
| description |
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. |
| format |
journal-article |
| author |
Ngoc Kim Khanh Nguyen Marc Bui |
| author_facet |
Ngoc Kim Khanh Nguyen Marc Bui |
| author_sort |
Ngoc Kim Khanh Nguyen |
| title |
Modeling Cascading Failures in Stock Markets by a Pretopological Framework |
| title_short |
Modeling Cascading Failures in Stock Markets by a Pretopological Framework |
| title_full |
Modeling Cascading Failures in Stock Markets by a Pretopological Framework |
| title_fullStr |
Modeling Cascading Failures in Stock Markets by a Pretopological Framework |
| title_full_unstemmed |
Modeling Cascading Failures in Stock Markets by a Pretopological Framework |
| title_sort |
modeling cascading failures in stock markets by a pretopological framework |
| publishDate |
2022 |
| url |
http://repository.vlu.edu.vn:443/handle/123456789/630 |
| work_keys_str_mv |
AT ngockimkhanhnguyen modelingcascadingfailuresinstockmarketsbyapretopologicalframework AT marcbui modelingcascadingfailuresinstockmarketsbyapretopologicalframework |
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1792768070629982208 |