🍩 Database of Original & Non-Theoretical Uses of Topology
(found 3 matches in 0.001162s)
Investigation of Flash Crash via Topological Data Analysis (2020)Wonse Kim, Younng-Jin Kim, Gihyun Lee, Woong Kook
AbstractTopological 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 methodology in finance by applying persistence landscape and dynamic time series analysis to analyze an extreme event in the stock market, known as Flash Crash. We will provide results of our empirical investigation to confirm the effectiveness of our new method not only for the characterization of this extreme event but also for its prediction purposes.
A Machine-Learning-Based Early Warning System Boosted by Topological Data Analysis (2019)Devraj Basu, Tieqiang Li
AbstractWe propose a novel early warning system for detecting financial market crashes that utilizes the information extracted from the shape of financial market movement. Our system incorporates Topological Data Analysis (TDA), a new set of data analytics techniques specialised in profiling the shape of data, into a more traditional machine learning framework. Incorporating TDA leads to substantial improvements in timely detecting the onset of a sharp market decline. Our framework is both able to generate new features and also unlock more value from existing factors. Our results illustrate the importance of understanding the shape of financial market data and suggest that incorporating TDA into a machine learning framework could be beneficial in a number of financial market settings.