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Signal propagation of fuzzy granule networks deriving from financial time series
Communications in Nonlinear Science and Numerical Simulation ( IF 3.9 ) Pub Date : 2021-08-13 , DOI: 10.1016/j.cnsns.2021.105982
Tingting Li 1 , Chao Luo 1, 2
Affiliation  

Financial markets are usually affected by various factors, such as breaking news or the release of important economic data, which would interrupt normal fluctuations and cause the abruptly increasing of volatility. How the financial markets behave under the impact of sudden external stimulations is of great significance for the analysis and prediction of financial prices. In this article, combining the theory of complex networks with granular computing, the financial granular complex network is constructed, based on which the propagation of fluctuation patterns after the occurrence of abnormal changes are studied. Here, the so-called “abnormal changes” are defined as the sudden and fierce fluctuations of financial prices, which are the non-trivial phenomena commonly existing in financial markets. By constructing the dynamical equations of pattern propagation, the evolution trajectories and the intrinsic characteristic of abnormal volatility patterns in financial granular network are quantitatively and qualitatively discussed. Results reveals the behaviors of the financial granule networks after the occurrence of abnormal fluctuations, and the impact of network topology on the propagation of fluctuation patterns is proved theoretically. In order to verify the validity of theoretical analysis, the empirical studies are carried out by using the real financial data deriving from foreign exchange and stock markets.



中文翻译:

源自金融时间序列的模糊颗粒网络的信号传播

金融市场通常会受到各种因素的影响,例如突发新闻或重要经济数据的发布,会打断正常的波动,导致波动性的突然增加。金融市场在突如其来的外部刺激影响下的表现对金融价格的分析和预测具有重要意义。本文将复杂网络理论与粒计算相结合,构建了金融粒状复杂网络,在此基础上研究了异常变化发生后波动模式的传播。在这里,所谓的“异常变化”是指金融价格的突然剧烈波动,是金融市场普遍存在的非平凡现象。通过构造模式传播的动力学方程,定量和定性地讨论了金融颗粒网络异常波动模式的演化轨迹和内在特征。结果揭示了异常波动发生后金融颗粒网络的行为,从理论上证明了网络拓扑对波动模式传播的影响。为验证理论分析的有效性,利用外汇和股票市场的真实金融数据进行实证研究。结果揭示了异常波动发生后金融颗粒网络的行为,从理论上证明了网络拓扑对波动模式传播的影响。为验证理论分析的有效性,利用外汇和股票市场的真实金融数据进行实证研究。结果揭示了异常波动发生后金融颗粒网络的行为,从理论上证明了网络拓扑对波动模式传播的影响。为验证理论分析的有效性,利用外汇和股票市场的真实金融数据进行实证研究。

更新日期:2021-08-21
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