Investigation of stock price network based on time series analysis and complex network

2021 ◽  
pp. 2150171
Author(s):  
Xiaodong Cui ◽  
Jun Hu ◽  
Yiming Ma ◽  
Peng Wu ◽  
Peican Zhu ◽  
...  
Keyword(s):  
Time Series ◽  
Complex Network ◽  
Information Entropy ◽  
Stock Price ◽  
Stock Return ◽  
Graph Algorithm ◽  
Price Trend ◽  
Stock Return Prediction ◽  
Sequence Correlation ◽  
New Perspective

Complex network is now widely used in a series of disciplines such as biology, physics, mathematics, sociology and so on. In this paper, we construct the stock price trend network based on the knowledge of complex network, and then propose a method based on information entropy to divide the stock network into some communities, that is, a gathering study of stock price trend. We construct time series networks for each stock in Chinese A-share market based on time series network model, and then use these networks to divide the stock market into communities. We find that the average trend of stocks in the same community is the same as the trend of market value weighting, but the average trend of stocks in different communities is quite different and the sequence correlation is low. This conclusion shows that stocks in the same community share the same price trend, while the stock trend in different communities varies. This paper is a successful application of complex network and information entropy in stock trend analysis, which mainly includes two contributions. First, the success of the visibility graph algorithm provides a new perspective for enriching stock price trend modeling. Second, our conclusion proves that the clustering based on information entropy theory is effective, which provides a new method for further research on stock price trend, portfolio construction and stock return prediction.

scholarly journals Examination of Chaotic Structures in Semiconductor or Alloy Voltage Time-Series: A Complex Network Approach for the Case of TlInTe2

Physics ◽  
2020 ◽  
Vol 2 (4) ◽  
pp. 624-639
Author(s):  
Dimitrios Tsiotas ◽  
Lykourgos Magafas ◽  
Michael P. Hanias
Keyword(s):  
Time Series ◽  
Network Analysis ◽  
Complex Network ◽  
Graph Algorithm ◽  
Differential Resistance ◽  
Visibility Graph ◽  
Characteristic Region ◽  
Scale Free ◽  
Complex Network Analysis ◽  
Voltage Oscillation

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.

scholarly journals The Effect of Anti-COVID-19 Policies on the Evolution of the Disease: A Complex Network Analysis of the Successful Case of Greece

Physics ◽  
2020 ◽  
Vol 2 (2) ◽  
pp. 325-339 ◽  
Author(s):  
Dimitrios Tsiotas ◽  
Lykourgos Magafas
Keyword(s):  
Time Series ◽  
Network Analysis ◽  
Complex Network ◽  
Graph Algorithm ◽  
Visibility Graph ◽  
Successful Case ◽  
Power Pattern ◽  
Novel Method ◽  
Good Policy ◽  
Of Greece

Within the context of Greece promising a success story in the fight against the disease, this paper proposes a novel method for studying the evolution of the Greek COVID-19 infection curve in relation to the anti-COVID-19 policies applied to control the pandemic. Based on the ongoing spread of COVID-19 and the insufficient data for applying classic time-series approaches, the analysis builds on the visibility graph algorithm to study the Greek COVID-19 infection curve as a complex network. By using the modularity optimization algorithm, the generated visibility graph is divided into communities defining periods of different connectivity in the time-series body. These periods reveal a sequence of different typologies in the evolution of the disease, starting with a power pattern, where a second order polynomial (U-shaped) pattern intermediates, being followed by a couple of exponential patterns, and ending up with a current logarithmic pattern revealing that the evolution of the Greek COVID-19 infection curve tends towards saturation. In terms of Gaussian modeling, this successive compression of the COVID-19 infection curve into five parts implies that the pandemic in Greece is about to reach the second (decline) half of the bell-shaped distribution. The network analysis also illustrates stability of hubs and instability of medium and low-degree nodes, implying a low probability of meeting maximum (infection) values in the future and high uncertainty in the variability of other values below the average. The overall approach contributes to the scientific research by proposing a novel method for the structural decomposition of a time-series into periods, which allows removing from the series the disconnected past-data facilitating better forecasting, and provides insights of good policy and decision-making practices and management that may help other countries improve their performance in the war against COVID-19.

scholarly journals An electrostatics method for converting a time-series into a weighted complex network

2021 ◽  
Vol 11 (1) ◽  
Author(s):  
Dimitrios Tsiotas ◽  
Lykourgos Magafas ◽  
Panos Argyrakis
Keyword(s):  
Time Series ◽  
Complex Network ◽  
Linear Trend ◽  
Weighted Graph ◽  
Graph Algorithm ◽  
Structural Similarity ◽  
Visibility Graph ◽  
Structural Relevance ◽  
Original Time ◽  
Electrically Charged

AbstractThis paper proposes a new method for converting a time-series into a weighted graph (complex network), which builds on electrostatics in physics. The proposed method conceptualizes a time-series as a series of stationary, electrically charged particles, on which Coulomb-like forces can be computed. This allows generating electrostatic-like graphs associated with time-series that, additionally to the existing transformations, can be also weighted and sometimes disconnected. Within this context, this paper examines the structural similarity between five different types of time-series and their associated graphs that are generated by the proposed algorithm and the visibility graph, which is currently the most popular algorithm in the literature. The analysis compares the source (original) time-series with the node-series generated by network measures (that are arranged into the node-ordering of the source time-series), in terms of a linear trend, chaotic behaviour, stationarity, periodicity, and cyclical structure. It is shown that the proposed electrostatic graph algorithm generates graphs with node-measures that are more representative of the structure of the source time-series than the visibility graph. This makes the proposed algorithm more natural rather than algebraic, in comparison with existing physics-defined methods. The overall approach also suggests a methodological framework for evaluating the structural relevance between the source time-series and their associated graphs produced by any possible transformation.

Forecasting based on spectral time series analysis: prediction of the Aurubis stock price

2020 ◽  
Vol 17 (4) ◽  
pp. 215-227
Author(s):  
Julia Babirath ◽  
Karel Malec ◽  
Rainer Schmitl ◽  
Kamil Maitah ◽  
Mansoor Maitah
Keyword(s):  
Time Series ◽  
Risk Management ◽  
Time Series Analysis ◽  
Wiener Process ◽  
Stock Price ◽  
Percentage Error ◽  
Portfolio Performance ◽  
Stock Price Prediction ◽  
Series Analysis ◽  
Augmented Dickey Fuller

The attempt to predict stock price movements has occupied investors ever since. Reliable forecasts are a basis for investment management, and improved forecasting results lead to enhanced portfolio performance and sound risk management. While forecasting using the Wiener process has received great attention in the literature, spectral time series analysis has been disregarded in this respect. The paper’s main objective is to evaluate whether spectral time series analysis can produce reliable forecasts of the Aurubis stock price. Aurubis poses a suitable candidate for an investor’s portfolio due to its sound economic and financial situation and the steady dividend policy. Additionally, reliable management contributes to making Aurubis an investment opportunity. To judge if the achieved forecast results can be considered satisfactory, they are compared against the simulation results of a Wiener process. After de-trending the time series using an Augmented Dickey-Fuller test, the residuals were compartmentalized into sine and cosine functions. The frequencies, amplitude, and phase were obtained using the Fast Fourier transform. The mean absolute percentage error measured the accuracy of the stock price prediction, and the results showed that the spectral analysis was able to deliver superior results when comparing the simulation using a Wiener process. Hence, spectral time series can enhance stock price forecasts and consequently improve risk management.

scholarly journals A Neutrosophic Forecasting Model for Time Series Based on First-Order State and Information Entropy of High-Order Fluctuation

Entropy ◽  
2019 ◽  
Vol 21 (5) ◽  
pp. 455 ◽  
Author(s):  
Hongjun Guan ◽  
Zongli Dai ◽  
Shuang Guan ◽  
Aiwu Zhao
Keyword(s):  
Time Series ◽  
Information Entropy ◽  
Stock Exchange ◽  
Time Series Forecasting ◽  
High Order ◽  
Stock Index ◽  
Neutrosophic Set ◽  
Forecasting Model ◽  
Forecasting Models ◽  
Proposed Model

In time series forecasting, information presentation directly affects prediction efficiency. Most existing time series forecasting models follow logical rules according to the relationships between neighboring states, without considering the inconsistency of fluctuations for a related period. In this paper, we propose a new perspective to study the problem of prediction, in which inconsistency is quantified and regarded as a key characteristic of prediction rules. First, a time series is converted to a fluctuation time series by comparing each of the current data with corresponding previous data. Then, the upward trend of each of fluctuation data is mapped to the truth-membership of a neutrosophic set, while a falsity-membership is used for the downward trend. Information entropy of high-order fluctuation time series is introduced to describe the inconsistency of historical fluctuations and is mapped to the indeterminacy-membership of the neutrosophic set. Finally, an existing similarity measurement method for the neutrosophic set is introduced to find similar states during the forecasting stage. Then, a weighted arithmetic averaging (WAA) aggregation operator is introduced to obtain the forecasting result according to the corresponding similarity. Compared to existing forecasting models, the neutrosophic forecasting model based on information entropy (NFM-IE) can represent both fluctuation trend and fluctuation consistency information. In order to test its performance, we used the proposed model to forecast some realistic time series, such as the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX), the Shanghai Stock Exchange Composite Index (SHSECI), and the Hang Seng Index (HSI). The experimental results show that the proposed model can stably predict for different datasets. Simultaneously, comparing the prediction error to other approaches proves that the model has outstanding prediction accuracy and universality.

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