The structure and dynamics of granular complex networks deriving from financial time series

2020 ◽  
Vol 31 (06) ◽  
pp. 2050087
Author(s):  
Li Tingting ◽  
Luo Chao ◽  
Shao Rui
Keyword(s):  
Time Series ◽  
Complex Networks ◽  
Financial Time Series ◽  
Markov Chain Model ◽  
Real Life ◽  
Chain Model ◽  
Sequential Data ◽  
Information Granule ◽  
Financial Time ◽  
Structure And Dynamics

High noise and strong volatility are the typical characteristics of financial time series. Combined with pseudo-randomness, nonsteady and self-similarity exhibiting in different time scales, it is a challenging issue for the pattern analysis of financial time series. Different from the existing works, in this paper, financial time series are converted into granular complex networks, based on which the structure and dynamics of network models are revealed. By using variable-length division, an extended polar fuzzy information granule (FIGs) method is used to construct granular complex networks from financial time series. Considering the temporal characteristics of sequential data, static networks and temporal networks are studied, respectively. As to the static network model, some features of topological structures of granular complex networks, such as distribution, clustering and betweenness centrality are discussed. Besides, by using the Markov chain model, the transfer processes among different granules are investigated, where the fluctuation pattern of data in the coming step can be evaluated from the transfer probability of two consecutive granules. Shanghai composite index and foreign exchange data as two examples in real life are applied to carry out the related discussion.

The volatility in financial time series based on granule complex network

2021 ◽  
pp. 2150116
Author(s):  
Liu Xueyi ◽  
Luo Chao
Keyword(s):  
Time Series ◽  
Complex Network ◽  
Financial Time Series ◽  
Markov Chain Model ◽  
Detection Algorithm ◽  
Financial Data ◽  
Stock Index ◽  
Chain Model ◽  
Financial Time ◽  
Transfer Processes

The volatility is one of the essential characteristics of financial time series, which is vital for the knowledge acquisition from financial data. However, since the high noise and nonsteady features, the volatility identification of financial time series is still a challenging problem. In this paper, from a perspective of granule complex network, a novel approach is proposed to study this problem. First, numeric time series is structured into fuzzy information granules (FIGs), where the segments of time series in each granule would own similar volatility features. Second, by using the transfer relations among granules, granule complex network is to be constructed, which intuitively describes the transfer processes among the different volatility patterns. Third, a novel community detection algorithm is applied to divide the granule complex networks, where granules with frequent mutual transfers would belong to the same granule community. Finally, Markov chain model is carried out to analyze the higher level of transfer processes among different granule communities, which would further describe the larger-scale transitions of volatility in overall financial time series. An empirical study of the proposed system is applied in the Shanghai stock index market, where volatility patterns of financial data can be effectively acquired and the corresponding transfer processes can be analyzed by means of the granule communities.

scholarly journals A case study of the residual-based cointegration procedure

2003 ◽  
Vol 7 (1) ◽  
pp. 29-48
Author(s):  
Riccardo Biondini ◽  
Yan-Xia Lin ◽  
Michael Mccrae
Keyword(s):  
Time Series ◽  
Financial Time Series ◽  
Real Life ◽  
Arima Models ◽  
Financial Time ◽  
Long Run ◽  
Data Generating Process ◽  
Finance Theory ◽  
The Relationship

The study of long-run equilibrium processes is a significant component of economic and finance theory. The Johansen technique for identifying the existence of such long-run stationary equilibrium conditions among financial time series allows the identification of all potential linearly independent cointegrating vectors within a given system of eligible financial time series. The practical application of the technique may be restricted, however, by the pre-condition that the underlying data generating process fits a finite-order vector autoregression (VAR) model with white noise. This paper studies an alternative method for determining cointegrating relationships without such a pre-condition. The method is simple to implement through commonly available statistical packages. This ‘residual-based cointegration’ (RBC) technique uses the relationship between cointegration and univariate Box-Jenkins ARIMA models to identify cointegrating vectors through the rank of the covariance matrix of the residual processes which result from the fitting of univariate ARIMA models. The RBC approach for identifying multivariate cointegrating vectors is explained and then demonstrated through simulated examples. The RBC and Johansen techniques are then both implemented using several real-life financial time series.

scholarly journals A Novel Ensemble Neuro-Fuzzy Model for Financial Time Series Forecasting

Data ◽  
2019 ◽  
Vol 4 (3) ◽  
pp. 126 ◽  
Author(s):  
Vlasenko ◽  
Vlasenko ◽  
Vynokurova ◽  
Bodyanskiy ◽  
Peleshko
Keyword(s):  
Decision Making ◽  
Time Series ◽  
Financial Time Series ◽  
Selection Process ◽  
Real Life ◽  
Fuzzy Model ◽  
Financial Data ◽  
Financial Time ◽  
Fuzzy Models ◽  
Neuro Fuzzy

Neuro-fuzzy models have a proven record of successful application in finance. Forecasting future values is a crucial element of successful decision making in trading. In this paper, a novel ensemble neuro-fuzzy model is proposed to overcome limitations and improve the previously successfully applied a five-layer multidimensional Gaussian neuro-fuzzy model and its learning. The proposed solution allows skipping the error-prone hyperparameters selection process and shows better accuracy results in real life financial data.

scholarly journals Detecting Predictable Segments of Chaotic Financial Time Series via Neural Network

Electronics ◽  
2020 ◽  
Vol 9 (5) ◽  
pp. 823
Author(s):  
Tianle Zhou ◽  
Chaoyi Chu ◽  
Chaobin Xu ◽  
Weihao Liu ◽  
Hao Yu
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Phase Space ◽  
Financial Market ◽  
Financial Time Series ◽  
Influential Factors ◽  
Series Data ◽  
Phase Point ◽  
Price Fluctuations ◽  
Financial Time

In this study, a new idea is proposed to analyze the financial market and detect price fluctuations, by integrating the technology of PSR (phase space reconstruction) and SOM (self organizing maps) neural network algorithms. The prediction of price and index in the financial market has always been a challenging and significant subject in time-series studies, and the prediction accuracy or the sensitivity of timely warning price fluctuations plays an important role in improving returns and avoiding risks for investors. However, it is the high volatility and chaotic dynamics of financial time series that constitute the most significantly influential factors affecting the prediction effect. As a solution, the time series is first projected into a phase space by PSR, and the phase tracks are then sliced into several parts. SOM neural network is used to cluster the phase track parts and extract the linear components in each embedded dimension. After that, LSTM (long short-term memory) is used to test the results of clustering. When there are multiple linear components in the m-dimension phase point, the superposition of these linear components still remains the linear property, and they exhibit order and periodicity in phase space, thereby providing a possibility for time series prediction. In this study, the Dow Jones index, Nikkei index, China growth enterprise market index and Chinese gold price are tested to determine the validity of the model. To summarize, the model has proven itself able to mark the unpredictable time series area and evaluate the unpredictable risk by using 1-dimension time series data.

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