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在股票市场中识别极端事件:拓数据分析
Anish Rai1, Buddha Nath Sharma1, Salam Rabindrajit Luwang1
1Department of Physics, National Institute of Technology Sikkim, Ravangla, Sikkim 737139, India.
Chaos (Woodbury, N.Y.)
|October 1, 2024
概括
拓数据分析 (TDA) 有效地检测到极端的股票市场事件,识别了2008年危机和COVID-19大流行期间的崩. 这种方法揭示了长期的特定部门影响,突出了银行业的波动性.
科学领域:
- 量化金融 量化金融
- 复杂系统分析 复杂系统分析
- 数据科学数据科学数据科学
背景情况:
- 传统的股票市场分析往往孤立地检查指数,限制了广泛的极端事件 (EE) 的检测.
- 需要采用统一的方法,同时在多个全球股票指数中识别和分析EEs.
研究的目的:
- 采用拓数据分析 (TDA) 来检测股票市场中的大陆级极端事件.
- 分析金融指数和部门在2008年金融危机和COVID-19大流行等重大危机期间的行为.
主要方法:
- 利用拓数据分析 (TDA) 进行全球股票指数的多次时间序列分析.
- 应用L1,L2规范和瓦瑟斯坦距离 (WD) 来识别超过值 (μ+4σ) 的偏差.
- 在COVID-19大流行期间对印度股票市场进行了行业分析.
主要成果:
- 在2008年金融危机和大陆各地的COVID-19大流行期间,TDA成功识别了极端事件.
- 在这些崩期间,主要指数的规范和WD显著增加.
- 事件后的分析显示,银行和IT等行业的压力持续 (μ+2σ),而制药和FMCG则表现出性.
结论:
- TDA提供了一个强大的框架,用于检测和分析金融市场的极端事件.
- 该研究表明,TDA能够识别市场冲击的持续时间和影响,特别强调银行业的脆弱性.
- 作为一种强大的分析工具,TDA可用于研究各种领域的极端事件.
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