Explanatory Change Detection in Financial Markets by Graph-Based Entropy and Inter-Domain Linkage
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...
| Main Authors: | , , , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-11-01
|
| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/24/12/1726 |
| _version_ | 1797459320148852736 |
|---|---|
| author | Yosuke Nishikawa Takaaki Yoshino Toshiaki Sugie Yoshiyuki Nakata Kakeru Itou Yukio Ohsawa |
| author_facet | Yosuke Nishikawa Takaaki Yoshino Toshiaki Sugie Yoshiyuki Nakata Kakeru Itou Yukio Ohsawa |
| author_sort | Yosuke Nishikawa |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-09T16:49:45Z |
| format | Article |
| id | doaj.art-4b82ceeca62541a68d13795810e7c6f0 |
| institution | Directory Open Access Journal |
| issn | 1099-4300 |
| language | English |
| last_indexed | 2024-03-09T16:49:45Z |
| publishDate | 2022-11-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Entropy |
| spelling | doaj.art-4b82ceeca62541a68d13795810e7c6f02023-11-24T14:41:50ZengMDPI AGEntropy1099-43002022-11-012412172610.3390/e24121726Explanatory Change Detection in Financial Markets by Graph-Based Entropy and Inter-Domain LinkageYosuke Nishikawa0Takaaki Yoshino1Toshiaki Sugie2Yoshiyuki Nakata3Kakeru Itou4Yukio Ohsawa5Department of Systems Innovation, School of Engineering, The University of Tokyo, 7-3-1, Hongo, Bunkyo-ku, Tokyo 113-8656, JapanNissay Asset Management Corporation, Marunouchi Building, 1-6-6, Marunouchi, Chiyoda-ku, Tokyo 100-8219, JapanNissay Asset Management Corporation, Marunouchi Building, 1-6-6, Marunouchi, Chiyoda-ku, Tokyo 100-8219, JapanNissay Asset Management Corporation, Marunouchi Building, 1-6-6, Marunouchi, Chiyoda-ku, Tokyo 100-8219, JapanNissay Asset Management Corporation, Marunouchi Building, 1-6-6, Marunouchi, Chiyoda-ku, Tokyo 100-8219, JapanDepartment of Systems Innovation, School of Engineering, The University of Tokyo, 7-3-1, Hongo, Bunkyo-ku, Tokyo 113-8656, JapanIn 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.https://www.mdpi.com/1099-4300/24/12/1726change detectiongraph entropyfinancial market |
| spellingShingle | Yosuke Nishikawa Takaaki Yoshino Toshiaki Sugie Yoshiyuki Nakata Kakeru Itou Yukio Ohsawa Explanatory Change Detection in Financial Markets by Graph-Based Entropy and Inter-Domain Linkage Entropy change detection graph entropy financial market |
| title | Explanatory Change Detection in Financial Markets by Graph-Based Entropy and Inter-Domain Linkage |
| title_full | Explanatory Change Detection in Financial Markets by Graph-Based Entropy and Inter-Domain Linkage |
| title_fullStr | Explanatory Change Detection in Financial Markets by Graph-Based Entropy and Inter-Domain Linkage |
| title_full_unstemmed | Explanatory Change Detection in Financial Markets by Graph-Based Entropy and Inter-Domain Linkage |
| title_short | Explanatory Change Detection in Financial Markets by Graph-Based Entropy and Inter-Domain Linkage |
| title_sort | explanatory change detection in financial markets by graph based entropy and inter domain linkage |
| topic | change detection graph entropy financial market |
| url | https://www.mdpi.com/1099-4300/24/12/1726 |
| work_keys_str_mv | AT yosukenishikawa explanatorychangedetectioninfinancialmarketsbygraphbasedentropyandinterdomainlinkage AT takaakiyoshino explanatorychangedetectioninfinancialmarketsbygraphbasedentropyandinterdomainlinkage AT toshiakisugie explanatorychangedetectioninfinancialmarketsbygraphbasedentropyandinterdomainlinkage AT yoshiyukinakata explanatorychangedetectioninfinancialmarketsbygraphbasedentropyandinterdomainlinkage AT kakeruitou explanatorychangedetectioninfinancialmarketsbygraphbasedentropyandinterdomainlinkage AT yukioohsawa explanatorychangedetectioninfinancialmarketsbygraphbasedentropyandinterdomainlinkage |