Multivariate financial time series in the light of complex network analysis

2018 ◽  
Vol 503 ◽  
pp. 1241-1255 ◽  
Author(s):  
Sufang An ◽  
Xiangyun Gao ◽  
Meihui Jiang ◽  
Xiaoqi Sun
Physics ◽  
2020 ◽  
Vol 2 (4) ◽  
pp. 624-639
Author(s):  
Dimitrios Tsiotas ◽  
Lykourgos Magafas ◽  
Michael P. Hanias

This paper proposes a method for examining chaotic structures in semiconductor or alloy voltage oscillation time-series, and focuses on the case of the TlInTe2 semiconductor. The available voltage time-series are characterized by instabilities in negative differential resistance in the current–voltage characteristic region, and are primarily chaotic in nature. The analysis uses a complex network analysis of the time-series and applies the visibility graph algorithm to transform the available time-series into a graph so that the topological properties of the graph can be studied instead of the source time-series. The results reveal a hybrid lattice-like configuration and a major hierarchical structure corresponding to scale-free characteristics in the topology of the visibility graph, which is in accordance with the default hybrid chaotic and semi-periodic structure of the time-series. A novel conceptualization of community detection based on modularity optimization is applied to the available time-series and reveals two major communities that are able to be related to the pair-wise attractor of the voltage oscillations’ phase portrait of the TlInTe2 time-series. Additionally, the network analysis reveals which network measures are more able to preserve the chaotic properties of the source time-series. This analysis reveals metric information that is able to supplement the qualitative phase-space information. Overall, this paper proposes a complex network analysis of the time-series as a method for dealing with the complexity of semiconductor and alloy physics.


2013 ◽  
Vol 30 (3) ◽  
pp. 328-340 ◽  
Author(s):  
Robert Garthoff ◽  
Vasyl Golosnoy ◽  
Wolfgang Schmid

IEEE Access ◽  
2020 ◽  
Vol 8 ◽  
pp. 109133-109143 ◽  
Author(s):  
Hui Li ◽  
Yunpeng Cui ◽  
Shuo Wang ◽  
Juan Liu ◽  
Jinyuan Qin ◽  
...  

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