Investigation of flash crash via topological data analysis

DOI10.1016/j.topol.2020.107523zbMath1471.91543arXiv2008.11558OpenAlexW3112545626MaRDI QIDQ820670

Gihyun Lee, Woong Kook, Wonse Kim, Younng-Jin Kim

Publication date: 27 September 2021

Published in: Topology and its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.11558

zbMATH Keywords

time series analysispersistence landscapeflash crash

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15) Topological data analysis (62R40)

Cites Work

• Topological data analysis of financial time series: landscapes of crashes
• Categorification of persistent homology
• Statistical topological data analysis using persistence landscapes

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