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Multidimensional Time Series Analysis of Financial Markets Based on the Complex Network Approach
Business School, Sun Yat-sen University, Guangzhou, China
Business School, Sun Yat-sen University, Guangzhou, China
Business School, Sun Yat-sen University, Guangzhou, China
- 1 Business School, Sun Yat-sen University, Guangzhou, China
- 2 Business School, Sun Yat-sen University, Guangzhou, China
- 3 Business School, Sun Yat-sen University, Guangzhou, China
Journal of Mathematical Finance·Volume 07 (2017)·Pages 734–750·Published 19 June 2017·DOI10.4236/jmf.2017.73039
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Abstract
In this study, a modeling method to analyze multidimensional time series based on complex networks is proposed. The rate of return sequence of the closing price and the trading volume fluctuation sequence of the Shanghai Composite Index, the Shenzhen Component Index, the S & P 500 index, and the Dow Jones Industrial Average are analyzed. The two-dimensional time series is transformed into a complex network. We analyze the spatial distribution characteristics of the network to determine the relationship between volume and price. It is found that the interaction of stock return and volume in China’ stock market is more obvious than that in the American market.
KeywordsComplex NetworksTime SeriesPrice-Volume CorrelationsMultidimensional
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