The Multiscale Conformation Evolution of the Financial Time Series
Joint Authors
Huang, Shupei
Gao, Xiangyun
Hao, Xiaoqing
Huang, Xuan
An, Haizhong
Source
Mathematical Problems in Engineering
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-10-11
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
Fluctuations of the nonlinear time series are driven by the traverses of multiscale conformations from one state to another.
Aiming to characterize the evolution of multiscale conformations with changes in time and frequency domains, we present an algorithm that combines the wavelet transform and the complex network.
Based on defining the multiscale conformation using a set of fluctuation states from different frequency components at each time point rather than the single observable value, we construct the conformational evolution complex network.
To illustrate, using data of Shanghai’s composition index with daily frequency from 1991 to 2014 as an example, we find that a few major conformations are the main contributors of evolution progress, the whole conformational evolution network has a clustering effect, and there is a turning point when the size of the chain of multiscale conformations is 14.
This work presents a refined perspective into underlying fluctuation features of financial markets.
American Psychological Association (APA)
Huang, Shupei& An, Haizhong& Gao, Xiangyun& Hao, Xiaoqing& Huang, Xuan. 2015. The Multiscale Conformation Evolution of the Financial Time Series. Mathematical Problems in Engineering،Vol. 2015, no. 2015, pp.1-9.
https://search.emarefa.net/detail/BIM-1074145
Modern Language Association (MLA)
Huang, Shupei…[et al.]. The Multiscale Conformation Evolution of the Financial Time Series. Mathematical Problems in Engineering No. 2015 (2015), pp.1-9.
https://search.emarefa.net/detail/BIM-1074145
American Medical Association (AMA)
Huang, Shupei& An, Haizhong& Gao, Xiangyun& Hao, Xiaoqing& Huang, Xuan. The Multiscale Conformation Evolution of the Financial Time Series. Mathematical Problems in Engineering. 2015. Vol. 2015, no. 2015, pp.1-9.
https://search.emarefa.net/detail/BIM-1074145
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1074145