通过图表自动编码器了解股票市场的不稳定性.
Dragos Gorduza1, Stefan Zohren1, Xiaowen Dong1
1Oxford-Man Institute of Quantitative Finance, University of Oxford, Walton Street, Oxford, UK.
概括
本研究介绍了一种使用图形自动编码器预测股票市场波动的新方法. 通过分析金融网络结构,它为预测市场不稳定性和改善风险管理提供了一种新的方法.
科学领域:
- 金融经济学 金融经济学
- 网络科学 网络科学
- 机器学习 机器学习
背景情况:
- 股票市场的不稳定性对财务管理构成重大风险.
- 市场中断与股票相关结构的变化有关,增加了波动性.
- 金融网络,公司是节点,相关性是边缘,模拟这些共同运动.
研究的目的:
- 为股票市场崩和波动制定一个及时的指标.
- 为了利用图形机器学习进行金融网络分析.
- 提高对金融稳定和波动性预测的理解.
主要方法:
- 使用图形自动编码器分析金融网络的拓结构.
- 采用边缘重建精度作为整个市场连接均性的代理.
- 将模型应用于2015-2022年标准普尔指数数据.
主要成果:
- 来自图表自动编码器的重建错误与市场波动性峰值相关.
- 拟议的方法改进了样本外自回归波动性建模.
- 证明了金融网络连接同质性的变化可以预测市场不稳定性.
结论:
- 市场不稳定性可以通过金融网络连接同质性的变化来预测.
- 图形机器学习为波动性估计和金融稳定政策提供了一个有希望的方法.
- 该研究通过网络分析扩大了对股票市场不稳定的理解.
相关概念视频
Time-Series Graph
4.3K
A time-series graph is a line graph with repeated measurements taken at successive intervals of time. It is also called a time series chart. To construct a time-series graph, one must look at both pieces of a paired data set. The horizontal axis is used to plot the time increments, and the vertical axis is used to plot the values of the variable that one is measuring. By using the axes in this way, each point on the graph will correspond to time and a measured quantity. The points on the graph...
4.3K
Vector Algebra: Graphical Method
11.8K
Vectors can be multiplied by scalars, added to other vectors, or subtracted from other vectors. The vector sum of two (or more) vectors is called the resultant vector or, for short, the resultant.
We use the laws of geometry to construct resultant vectors, followed by trigonometry to find vector magnitudes and directions. For a geometric construction of the sum of two vectors in a plane, we follow the parallelogram rule. Suppose two vectors are at arbitrary positions. Translate either one of...
We use the laws of geometry to construct resultant vectors, followed by trigonometry to find vector magnitudes and directions. For a geometric construction of the sum of two vectors in a plane, we follow the parallelogram rule. Suppose two vectors are at arbitrary positions. Translate either one of...
11.8K
Survival Tree
51
Survival trees are a non-parametric method used in survival analysis to model the relationship between a set of covariates and the time until an event of interest occurs, often referred to as the "time-to-event" or "survival time." This method is particularly useful when dealing with censored data, where the event has not occurred for some individuals by the end of the study period, or when the exact time of the event is unknown.
Building a Survival Tree
Constructing a...
Building a Survival Tree
Constructing a...
51
Interpreting X̄ Charts
52
Interpreting x̄ charts, a type of control chart used in statistical process control helps monitor the variation in processes over time. The x̄ chart is based on the sample mean and allows for monitoring variations in the process mean over time. These charts are pivotal for quality assurance in manufacturing and other sectors.
An x̄ chart plots the values of individual measurements over time against control limits calculated from historical data. The central line...
An x̄ chart plots the values of individual measurements over time against control limits calculated from historical data. The central line...
52
Multiple Bar Graph
5.0K
As the name suggests, a multiple bar graph is the same as a bar graph but has multiple bars to depict relationships between different data values. One can include as many parameters as possible. However, each parameter must have the same unit of measurement.
Each bar or column in the multiple bar graph represents a data value. These graphs are used primarily in interrelating two or more sets of data. The categories of different kinds of data are listed along the horizontal or x-axis, whereas...
Each bar or column in the multiple bar graph represents a data value. These graphs are used primarily in interrelating two or more sets of data. The categories of different kinds of data are listed along the horizontal or x-axis, whereas...
5.0K
Signal Flow Graphs
156
Signal-flow graphs offer a streamlined and intuitive approach to representing control systems, providing an alternative to traditional block diagrams. These graphs use branches to symbolize systems and nodes to represent signals, effectively illustrating the relationships and interactions within the system.
In a signal-flow graph, branches denote the system's transfer functions, while nodes represent the signals. The direction of signal flow is indicated by arrows, with the corresponding...
In a signal-flow graph, branches denote the system's transfer functions, while nodes represent the signals. The direction of signal flow is indicated by arrows, with the corresponding...
156


