Explaining Dynamic Changes in Various Asset’s Relationships in Financial Markets

  • Naraoka M
  • Hayashi T
  • Yoshino T
  • et al.
N/ACitations
Citations of this article
5Readers
Mendeley users who have this article in their library.

This article is free to access.

Abstract

We study the method for detecting relationship changes in financial markets and providing human-interpretable network visualization to support the decision-making of fund managers dealing with multi-assets. First, we construct co-occurrence networks with each asset as a node and a pair with a strong relationship in price change as an edge at each time step. Second, we calculate Graph-Based Entropy to represent the variety of price changes based on the network. Third, we apply the Differential Network to finance, which is traditionally used in the field of bioinformatics. By the method described above, we can visualize when and what kind of changes are occurring in the financial market, and which assets play a central role in changes in financial markets. Experiments with multi-asset time-series data showed results that were well fit with actual events while maintaining high interpretability. It is suggested that this approach is useful for fund managers to use as a new option for decision-making.

Cite

CITATION STYLE

APA

Naraoka, M., Hayashi, T., Yoshino, T., Sugie, T., Takano, K., & Ohsawa, Y. (2021). Explaining Dynamic Changes in Various Asset’s Relationships in Financial Markets. The Review of Socionetwork Strategies, 15(2), 597–611. https://doi.org/10.1007/s12626-021-00094-5

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free