Early warning signals of financial crises using persistent homology

Author(s):  
Mohd Sabri Ismail ◽  
Mohd Salmi Md Noorani ◽  
Munira Ismail ◽  
Fatimah Abdul Razak ◽  
Mohd Almie Alias
2021 ◽  
Vol 11 (1) ◽  
Author(s):  
Syed Mohamad Sadiq Syed Musa ◽  
Mohd Salmi Md Noorani ◽  
Fatimah Abdul Razak ◽  
Munira Ismail ◽  
Mohd Almie Alias ◽  
...  

AbstractFlood early warning systems (FLEWSs) contribute remarkably to reducing economic and life losses during a flood. The theory of critical slowing down (CSD) has been successfully used as a generic indicator of early warning signals in various fields. A new tool called persistent homology (PH) was recently introduced for data analysis. PH employs a qualitative approach to assess a data set and provide new information on the topological features of the data set. In the present paper, we propose the use of PH as a preprocessing step to achieve a FLEWS through CSD. We test our proposal on water level data of the Kelantan River, which tends to flood nearly every year. The results suggest that the new information obtained by PH exhibits CSD and, therefore, can be used as a signal for a FLEWS. Further analysis of the signal, we manage to establish an early warning signal for ten of the twelve flood events recorded in the river; the two other events are detected on the first day of the flood. Finally, we compare our results with those of a FLEWS constructed directly from water level data and find that FLEWS via PH creates fewer false alarms than the conventional technique.


IEEE Access ◽  
2020 ◽  
Vol 8 ◽  
pp. 202042-202057
Author(s):  
Mohd Sabri Ismail ◽  
Saiful Izzuan Hussain ◽  
Mohd Salmi Md. Noorani

2021 ◽  
Vol 11 (1) ◽  
Author(s):  
Yoram K. Kunkels ◽  
Harriëtte Riese ◽  
Stefan E. Knapen ◽  
Rixt F. Riemersma - van der Lek ◽  
Sandip V. George ◽  
...  

AbstractEarly-warning signals (EWS) have been successfully employed to predict transitions in research fields such as biology, ecology, and psychiatry. The predictive properties of EWS might aid in foreseeing transitions in mood episodes (i.e. recurrent episodes of mania and depression) in bipolar disorder (BD) patients. We analyzed actigraphy data assessed during normal daily life to investigate the feasibility of using EWS to predict mood transitions in bipolar patients. Actigraphy data of 15 patients diagnosed with BD Type I collected continuously for 180 days were used. Our final sample included eight patients that experienced a mood episode, three manic episodes and five depressed episodes. Actigraphy data derived generic EWS (variance and kurtosis) and context-driven EWS (autocorrelation at lag-720) were used to determine if these were associated to upcoming bipolar episodes. Spectral analysis was used to predict changes in the periodicity of the sleep/wake cycle. The study procedures were pre-registered. Results indicated that in seven out of eight patients at least one of the EWS did show a significant change-up till four weeks before episode onset. For the generic EWS the direction of change was always in the expected direction, whereas for the context-driven EWS the observed effect was often in the direction opposite of what was expected. The actigraphy data derived EWS and spectral analysis showed promise for the prediction of upcoming transitions in mood episodes in bipolar patients. Further studies into false positive rates are suggested to improve effectiveness for EWS to identify upcoming bipolar episode onsets.


2015 ◽  
Vol 47 (43) ◽  
pp. 4630-4652 ◽  
Author(s):  
Chia-Chien Chang ◽  
Te-Chung Hu ◽  
Chiu-Fen Kao ◽  
Ya-Chi Chang

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