当前位置: X-MOL 学术arXiv.cs.CE › 论文详情
Detecting and explaining changes in various assets' relationships in financial markets
arXiv - CS - Computational Engineering, Finance, and Science Pub Date : 2020-05-21 , DOI: arxiv-2005.10603
Makoto Naraoka; Teruaki Hayashi; Yukio Ohsawa; Takaaki Yoshino; Toshiaki Sugie; Kota Takano

We study the method for detecting relationship changes in financial markets and providing human-interpretable network visualization to support the decision-making of fund managers dealing with multi-assets. First, we construct co-occurrence networks with each asset as a node and a pair with a strong relationship in price change as an edge at each time step. Second, we calculate Graph-Based Entropy to represent the variety of price changes based on the network. Third, we apply the Differential Network to finance, which is traditionally used in the field of bioinformatics. By the method described above, we can visualize when and what kind of changes are occurring in the financial market, and which assets play a central role in changes in financial markets. Experiments with multi-asset time-series data showed results that were well fit with actual events while maintaining high interpretability.
更新日期:2020-05-21

 

全部期刊列表>>
Springer化学材料学
骄傲月
如何通过Nature平台传播科研成果
跟Nature、Science文章学绘图
隐藏1h前已浏览文章
中洪博元
课题组网站
新版X-MOL期刊搜索和高级搜索功能介绍
ACS材料视界
x-mol收录
南开大学
朱守非
廖良生
郭东升
汪铭
伊利诺伊大学香槟分校
徐明华
中山大学化学工程与技术学院
试剂库存
天合科研
down
wechat
bug