Topological data analysis of financial time series: Landscapes of crashes

We explore the evolution of daily returns of four major US stock market indices during the technology crash of 2000, and the financial crisis of 2007–2009. Our methodology is based on topological data analysis (TDA). We use persistence homology to detect and quantify topological patterns that appear...

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Bibliographic Details

Published in:	Physica A Vol. 491; pp. 820 - 834
Main Authors:	Gidea, Marian, Katz, Yuri
Format:	Journal Article
Language:	English
Published:	Elsevier B.V 01.02.2018
Subjects:	Early warning signals Financial time-series Topological data analysis Topological data analysis Financial time-series Early warning signals
ISSN:	0378-4371, 1873-2119
Online Access:	Get full text
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