Explanatory Change Detection in Financial Markets by Graph-Based Entropy and Inter-Domain Linkage.

Yosuke Nishikawa, Takaaki Yoshino, Toshiaki Sugie, Yoshiyuki Nakata, Kakeru Itou, Yukio Ohsawa

Abstract read

In one paragraph

Article in Entropy (Basel, Switzerland), 2022. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Not yet cited in PubMed.

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5 · Who and what money

Authors and funding

6 authors.

Yosuke NishikawaDepartment of Systems Innovation, School of Engineering, The University of Tokyo, 7-3-1, Hongo, Bunkyo-ku, Tokyo 113-8656, Japan.ORCID 0000-0002-7203-351X

Takaaki YoshinoNissay Asset Management Corporation, Marunouchi Building, 1-6-6, Marunouchi, Chiyoda-ku, Tokyo 100-8219, Japan.

Toshiaki SugieNissay Asset Management Corporation, Marunouchi Building, 1-6-6, Marunouchi, Chiyoda-ku, Tokyo 100-8219, Japan.

Yoshiyuki NakataNissay Asset Management Corporation, Marunouchi Building, 1-6-6, Marunouchi, Chiyoda-ku, Tokyo 100-8219, Japan.

Kakeru ItouNissay Asset Management Corporation, Marunouchi Building, 1-6-6, Marunouchi, Chiyoda-ku, Tokyo 100-8219, Japan.

Yukio OhsawaDepartment of Systems Innovation, School of Engineering, The University of Tokyo, 7-3-1, Hongo, Bunkyo-ku, Tokyo 113-8656, Japan.

Funding

Japan Society for the Promotion of Science Kakenhi 20K20482Ministry of Education, Culture, Sports, Science and Technology Japan JPMXS0118067246

6 · The paper itself

Abstract

In this study, we analyzed structural changes in financial markets under COVID-19 to support investors' investment decisions. Because an explanation of these changes is necessary to respond appropriately to said changes and prepare for similar major changes in the future, we visualized the financial market as a graph. The hypothesis was based on expertise in the financial market, and the graph was analyzed from a detailed perspective by dividing the graph into domains. We also designed an original change-detection indicator based on the structure of the graph. The results showed that the original indicator was more effective than the comparison method in terms of both the speed of response and accuracy. Explanatory change detection of this method using graphs and domains allowed investors to consider specific strategies.

Indexed as

change detectionfinancial marketgraph entropy

Identifiers

PMID36554130

DOI10.3390/e24121726

PMCPMC9778065

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