Topological Data Analysis for Identifying Critical Transitions in Cryptocurrency Time Series

被引：0
|
作者：
Saengduean, P. [1 ]
Noisagool, S. [2 ]
Chamchod, F. [1 ]
机构：
[1] Mahidol Univ, Fac Sci, Dept Math, Bangkok, Thailand
[2] Mahidol Univ, Dept Phys, Fac Sci, Bangkok, Thailand
来源：
2020 IEEE INTERNATIONAL CONFERENCE ON INDUSTRIAL ENGINEERING AND ENGINEERING MANAGEMENT (IEEE IEEM) | 2020年
关键词：
Financial crashes; Financial time series; Cryptocurrency; K-means clustering; Topological data analysis; EARLY-WARNING SIGNAL; LANDSCAPES;
D O I：
10.1109/ieem45057.2020.9309855
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
In this study, we investigate financial crashes in the cryptocurrency market including both mini and major crashes for two cryptocurrencies, Bitcoin and Ethereum, during the period that the digital market crashed in 2018. By applying techniques in topological data analysis, we are able to predict financial transitions and explore optimal values of the window size and the dimension of point cloud data to obtain good early warning signals. Our results demonstrate good early warning signals before the financial crashes and also show that the L-1-norm and C-1 - norm of persistent landscapes peak before the crashes occur.
引用
收藏
页码：933 / 938
页数：6
相关论文
共 50 条
  • [1] Topological recognition of critical transitions in time series of cryptocurrencies
    Gidea, Marian
    Goldsmith, Daniel
    Katz, Yuri
    Roldan, Pablo
    Shmalo, Yonah
    [J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2020, 548
  • [2] Topological Data Analysis of Critical Transitions in Financial Networks
    Gidea, Marian
    [J]. 3RD INTERNATIONAL WINTER SCHOOL AND CONFERENCE ON NETWORK SCIENCE, 2017, : 47 - 59
  • [3] Topological Data Analysis for Multivariate Time Series Data
    El-Yaagoubi, Anass B.
    Chung, Moo K.
    Ombao, Hernando
    [J]. ENTROPY, 2023, 25 (11)
  • [4] A critical investigation of cryptocurrency data and analysis
    Alexander, C.
    Dakos, M.
    [J]. QUANTITATIVE FINANCE, 2020, 20 (02) : 173 - 188
  • [5] Predicting Critical Transitions From Time Series Synchrophasor Data
    Cotilla-Sanchez, Eduardo
    Hines, Paul D. H.
    Danforth, Christopher M.
    [J]. IEEE TRANSACTIONS ON SMART GRID, 2012, 3 (04) : 1832 - 1840
  • [6] Predicting Critical Transitions from Time Series Synchrophasor Data
    Cotilla-Sanchez, Eduardo
    Hines, Paul
    Danforth, Christopher
    [J]. 2013 IEEE POWER AND ENERGY SOCIETY GENERAL MEETING (PES), 2013,
  • [7] Time series classification via topological data analysis
    Karan, Alperen
    Kaygun, Atabey
    [J]. EXPERT SYSTEMS WITH APPLICATIONS, 2021, 183
  • [8] Time series analysis of Cryptocurrency returns and volatilities
    Malladi, Rama K.
    Dheeriya, Prakash L.
    [J]. JOURNAL OF ECONOMICS AND FINANCE, 2021, 45 (01) : 75 - 94
  • [9] Time series analysis of Cryptocurrency returns and volatilities
    Rama K. Malladi
    Prakash L. Dheeriya
    [J]. Journal of Economics and Finance, 2021, 45 : 75 - 94
  • [10] Topological Data Analysis and Its Application to Time-Series Data Analysis
    Umeda, Yuhei
    Kaneko, Junji
    Kikuchi, Hideyuki
    [J]. FUJITSU SCIENTIFIC & TECHNICAL JOURNAL, 2019, 55 (02): : 65 - 71
12345