Related papers: Identifying Extreme Events in the Stock Market: A …
The paper presents a comprehensive causality analysis of the US stock and commodity markets during the COVID-19 crash. The dynamics of different sectors are also compared. We use Topological Data Analysis (TDA) on multidimensional…
Topological Data Analysis (TDA) is a modern approach to Data Analysis focusing on the topological features of data; it has been widely studied in recent years and used extensively in Biology, Physics, and many other areas. However,…
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…
In this work we evaluate the performance of three classes of methods for detecting financial anomalies: topological data analysis (TDA), principal component analyis (PCA), and Neural Network-based approaches. We apply these methods to the…
Topological data analysis has been acknowledged as one of the most successful mathematical data analytic methodologies in various fields including medicine, genetics, and image analysis. In this paper, we explore the potential of this…
The sporadic large fluctuations are seen in the stock market due to changes in fundamental parameters, technical setups, and external factors. These large fluctuations are termed as Extreme Events (EE). The EEs may be positive or negative…
We present a heuristic argument for the propensity of Topological Data Analysis (TDA) to detect early warning signals of critical transitions in financial time series. Our argument is based on the Log-Periodic Power Law Singularity (LPPLS)…
To understand the emergence of Ultrafast Extreme Events (UEEs), the influence of algorithmic trading or high-frequency traders is of major interest as they make it extremely difficult to intervene and to stabilize financial markets. In an…
Topological Data Analysis (TDA) is increasingly crucial in investigating the shape of complex data structures across scientific fields, particularly in neuroscience and finance. This study delves into persistent homology, a TDA component…
Predicting the occurrence of tail events is of great importance in financial risk management. By employing the method of peak-over-threshold (POT) to identify the financial extremes, we perform a recurrence interval analysis (RIA) on these…
Modern business and economic datasets often exhibit nonlinear, multi-scale structures that traditional linear tools under-represent. Topological Data Analysis (TDA) offers a geometric lens for uncovering robust patterns, such as connected…
Geometry-inspired measures (such as discrete Ricci curvatures) and topological data analysis (TDA) based methods (such as persistent homology) have become attractive tools for characterizing the higher-order structure of networks…
This paper introduces a novel approach to financial risk assessment by incorporating topological data analysis (TDA), specifically cohomology groups, into the evaluation of equities portfolios. The study aims to go beyond traditional risk…
We exploit a recent computational framework to model and detect financial crises in stock markets, as well as shock events in cryptocurrency markets, which are characterized by a sudden or severe drop in prices. Our method manages to detect…
This paper introduces advanced techniques of Topological Data Analysis (TDA) for unsupervised anomaly detection and customer segmentation in banking data. Using the Mapper algorithm and persistent homology, we develop unsupervised…
Large time-varying graphs are increasingly common in financial, social and biological settings. Feature extraction that efficiently encodes the complex structure of sparse, multi-layered, dynamic graphs presents computational and…
Historically, the economic recession often came abruptly and disastrously. For instance, during the 2008 financial crisis, the SP 500 fell 46 percent from October 2007 to March 2009. If we could detect the signals of the crisis earlier, we…
Extreme events in society and nature, such as pandemic spikes, rogue waves, or structural failures, can have catastrophic consequences. Characterizing extremes is difficult as they occur rarely, arise from seemingly benign conditions, and…
We develop a topology data analysis-based method to detect early signs for critical transitions in financial data. From the time-series of multiple stock prices, we build time-dependent correlation networks, which exhibit topological…
Topological Data Analysis (TDA) is the collection of mathematical tools that capture the structure of shapes in data. Despite computational topology and computational geometry, the utilization of TDA in time series and signal processing is…