Detecting Anomalies in the Dynamics of a Market Index with Topological Data Analysis
DOI:
https://doi.org/10.6977/IJoSI.202112_6(6).0005Abstract
We investigate the behavior of a market index by using the persistence diagram of its time-delay embedding, a powerful tool of the Topological Data Analysis approach. Furthermore, we propose a framework to capture the characteristics of a market index’s daily return and find its extraordinary movements. Our method bases on the changes in the point distribution of the persistence diagram. After applying for the S&P 500 index in 50 latest years, the framework is demonstrated that it can efficiently track the topological information of the index return’s such that significant anomalies of the time series can be detected.
Downloads
Published
2021-12-11
Issue
Section
Regular full papers
License
Copyright in a work is a bundle of rights. IJoSI's, copyright covers what may be done with the work in terms of making copies, making derivative works, abstracting parts of it for citation or quotation elsewhere and so on. IJoSI requires authors to sign over rights when their article is ready for publication so that the publisher from then on owns the work. Until that point, all rights belong to the creator(s) of the work. The format of IJoSI copy right form can be found at the IJoSI web site.The issues of International Journal of Systematic Innovation (IJoSI) are published in electronic format and in print. Our website, journal papers, and manuscripts etc. are stored on one server. Readers can have free online access to our journal papers. Authors transfer copyright to the publisher as part of a journal publishing agreement, but have the right to:
1. Share their article for personal use, internal institutional use and scholarly sharing purposes, with a DOI link to the version of record on our server.
2. Retain patent, trademark and other intellectual property rights (including research data).
3. Proper attribution and credit for the published work.
