Topological recognition of critical transitions in time series of cryptocurrencies

DOI10.1016/J.PHYSA.2019.123843MaRDI QIDQ2140735zbMATH OpenOpenAlexWikidataFDO

Authors Marian Gidea, Daniel Goldsmith, Yuri A. Katz, Pablo Roldán, Yonah Shmalo

Publication date 23 May 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1809.00695

zbMATH Keywords

\(k\)-means clusteringcomplex systems dynamicscritical transitionscryptocurrencyfinancial time seriestopological data analysis

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

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Cited in

(14)

• A simplified algorithm for identifying abnormal changes in dynamic networks
• Testing for local covariate trend effects in volatility models
• Topological features of multivariate distributions: dependency on the covariance matrix
• Time Series Analysis of Relationships Among Crypto-asset Exchange Rates
• Persistence of Weighted Ordinal Partition Networks for Dynamic State Detection
• Why topological data analysis detects financial bubbles?
• Topological recognition of critical transitions in time series of cryptocurrencies
• Detecting bifurcations in dynamical systems with CROCKER plots
• An introduction to persistent homology for time series
• A topological approach for capturing high-order interactions in graph data with applications to anomaly detection in time-varying cryptocurrency transaction graphs
• On the asymptotic normality of persistent Betti numbers
• Sparse portfolio selection via topological data analysis based clustering
• A robust topological framework for detecting regime changes in multi-trial experiments with application to predictive maintenance
• Null-validated topological signatures of financial market dynamics

Describes a project that uses

Uses Software

• SW1PerS
• TDA
• factoextra
• Persistence Landscape

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