Time Series Analysis Based on Visibility Graph Theory

The dynamics of a complex system is usually recorded in the form of time series. In recent years, the visibility graph algorithm and the horizontal visibility graph algorithm have been recently introduced as the mapping between time series and complex networks. Transforming time series into the grap...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:2015 7th International Conference on Intelligent Human Machine Systems and Cybernetics (IHMSC) Jg. 2; S. 311 - 314
Hauptverfasser: Shijie Yan, Danling Wang
Format: Tagungsbericht
Sprache:Englisch
Veröffentlicht: IEEE 01.08.2015
Schlagworte:
Algorithm design and analysis
Brownian motion
Complex networks
Daily turnover of stock
Degree distribution
Fitting
Graph theory
Heuristic algorithms
Horizontal Visibility Graph
Time series analysis
Visibility graph
ISBN:9781479986453, 1479986453
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:The dynamics of a complex system is usually recorded in the form of time series. In recent years, the visibility graph algorithm and the horizontal visibility graph algorithm have been recently introduced as the mapping between time series and complex networks. Transforming time series into the graphs, the algorithms allows applying the methods of graph theoretical tools for characterizing time series, opening the possibility of building fruitful connections between time series analysis, nonlinear dynamics, and graph theory. This paper analyzes mainly the topological properties of visibility graphs and horizontal visibility graphs associated to random series and fractional Brownian motions series, with a special emphasis on degree distribution of the associated graphs. As an example, this paper study the visibility graph and horizontal visibility graph constructed from the total daily turnover of stock market, and unveil that the degree distribution of visibility graph has power-law tails, and the degree distribution of horizontal visibility graph has exponential tail.
ISBN:9781479986453
1479986453
DOI:10.1109/IHMSC.2015.238