Visibility graphs and precursors of stock crashes

Soloviev, Vladimir; Solovieva, V. I.; Tuliakova, Anna

doi:10.33111/nfmte.2019.003

“…Previously, we introduced various quantitative measures of complexity for individual time series [57,[327][328][329]. However, except a graph for an individual time series, it is necessary to take into account the interconnection interaction, which can be realized within the framework of different models [330].…”

Section: Single and Multiplex Networkmentioning

confidence: 99%

Econophysics of cryptocurrency crashes: an overview

Bielinskyi

¹

,

Serdyuk

²

,

Семеріков

³

et al. 2021

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Cryptocurrencies refer to a type of digital asset that uses distributed ledger, or blockchain technology to enable a secure transaction. Like other financial assets, they show signs of complex systems built from a large number of nonlinearly interacting constituents, which exhibits collective behavior and, due to an exchange of energy or information with the environment, can easily modify its internal structure and patterns of activity. We review the econophysics analysis methods and models adopted in or invented for financial time series and their subtle properties, which are applicable to time series in other disciplines. Quantitative measures of complexity have been proposed, classified, and adapted to the cryptocurrency market. Their behavior in the face of critical events and known cryptocurrency market crashes has been analyzed. It has been shown that most of these measures behave characteristically in the periods preceding the critical event. Therefore, it is possible to build indicators-precursors of crisis phenomena in the cryptocurrency market.

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“…Previously, we introduced various quantitative measures of complexity for individual time series [58,328,329,330]. However, except a graph for an individual time series, it is necessary to take into account the interconnection interaction, which can be realized within the framework of different models [331].…”

Section: Single and Multiplex Networkmentioning

confidence: 99%

Econophysics of cryptocurrency crashes: a systematic review

Bielinskyi¹,

Serdyuk²,

et al. 2021

View full text Add to dashboard Cite

Cryptocurrencies refer to a type of digital asset that uses distributed ledger, or blockchain technology to enable a secure transaction. Like other financial assets, they show signs of complex systems built from a large number of nonlinearly interacting constituents, which exhibits collective behavior and, due to an exchange of energy or information with the environment, can easily modify its internal structure and patterns of activity. We review the econophysics analysis methods and models adopted in or invented for financial time series and their subtle properties, which are applicable to time series in other disciplines. Quantitative measures of complexity have been proposed, classified, and adapted to the cryptocurrency market. Their behavior in the face of critical events and known cryptocurrency market crashes has been analyzed. It has been shown that most of these measures behave characteristically in the periods preceding the critical event. Therefore, it is possible to build indicators-precursors of crisis phenomena in the cryptocurrency market.

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“…The use of the complexity of recurrent and visibility graph networks to prevent critical and crisis phenomena in stock markets has been considered by us in a recent papers [15,16]. In this paper, we consider multiplex implementations of these techniques.…”

Section: Graphsmentioning

confidence: 99%

Construction of crisis precursors in multiplex networks

Soloviev¹,

Solovieva²,

Tuliakova³

et al. 2019

Proceedings of the 2019 7th International Conference on Modeling, Development and Strategic Management of Economic System (MDSM

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Based on the network paradigm of complexity in the work, a systematic analysis of the dynamics of the largest stock markets in the world has been carried out. According to the algorithms of the visibility graph and recurrence plot, the daily values of stock indices are converted into a multiplex networks, the spectral and topological properties of which are sensitive to the critical and crisis phenomena of the studied complex systems. It is shown that some of the spectral and topological characteristics can serve as measures of the complexity of the stock market, and their specific behaviour in the pre-crisis period is used as indicators-precursors of crisis phenomena.

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Visibility graphs and precursors of stock crashes

Cited by 9 publications

References 21 publications

Econophysics of cryptocurrency crashes: an overview

Econophysics of cryptocurrency crashes: an overview

Econophysics of cryptocurrency crashes: a systematic review

Construction of crisis precursors in multiplex networks

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