Topological data analysis of financial time series: landscapes of crashes

DOI10.1016/J.PHYSA.2017.09.028OpenAlexW2597495304MaRDI QIDQ2148680

Marian Gidea, Yuri A. Katz

Publication date: 24 June 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1703.04385

zbMATH Keywords

topological data analysisfinancial time-seriesearly warning signals

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (20)

Investigation of flash crash via topological data analysis ⋮ Persistence of Weighted Ordinal Partition Networks for Dynamic State Detection ⋮ Extremal lifetimes of persistent cycles ⋮ Polyhedral expansions of compacta associated to finite approximations ⋮ Topological recognition of critical transitions in time series of cryptocurrencies ⋮ Particle swarm optimization performance for fitting of Lévy noise data ⋮ An uncertainty measure based on Pearson correlation as well as a multiscale generalized Shannon-based entropy with financial market applications ⋮ Some recent trends in embeddings of time series and dynamic networks ⋮ Why topological data analysis detects financial bubbles? ⋮ Persistent homology of collider observations: when (w)hole matters ⋮ Detecting early warning signals of financial crisis in spatial endogenous credit model using patch-size distribution ⋮ The Persistence Landscape and Some of Its Properties ⋮ Geometric Metrics for Topological Representations ⋮ Topological features of multivariate distributions: dependency on the covariance matrix ⋮ Pairs trading with topological data analysis ⋮ On the law of the iterated logarithm and strong invariance principles in stochastic geometry ⋮ Persistent homology detects curvature ⋮ On limit theorems for persistent Betti numbers from dependent data ⋮ Simplicial complexes and complex systems ⋮ Phenotyping OSA: a time series analysis using fuzzy clustering and persistent homology

Uses Software

• Gudhi
• TDA
• SW1PerS
• Persistence Landscape

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A persistence landscapes toolbox for topological statistics
• Stability of persistence diagrams
• On the local behavior of spaces of natural images
• A two-dimensional mapping with a strange attractor
• Embedology
• Critical phenomena in natural sciences. Chaos, fractals, selforganization and disorder: concepts and tools.
• Volatility in financial markets: Stochastic models and empirical results
• Topological persistence and simplification
• Nonextensive statistical mechanics and economics
• Analysis of Kolmogorov flow and Rayleigh-Bénard convection using persistent homology
• Sliding windows and persistence: an application of topological methods to signal analysis
• Critical transitions in a model of a genetic regulatory system
• Financial crisis dynamics: attempt to define a market instability indicator
• Introduction to Nonextensive Statistical Mechanics
• Topology and data
• Delay embedding in the presence of dynamical noise
• A non-Gaussian option pricing model with skew
• A theory of non‐Gaussian option pricing
• Automatic Recognition and Tagging of Topologically Different Regimes in Dynamical Systems
• Persistent topological features of dynamical systems
• Introduction to Econophysics
• Statistical topological data analysis using persistence landscapes

This page was built for publication: Topological data analysis of financial time series: landscapes of crashes