Path-Based Visibility Graph Kernel and Application for the Borsa Istanbul Stock Network
Using networks to analyze time series has become increasingly popular in recent years. Univariate and multivariate time series can be mapped to networks in order to examine both local and global behaviors. Visibility graph-based time series analysis is proposed herein; in this approach, individual t...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-03-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/11/6/1528 |
| _version_ | 1797610288337387520 |
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| author | Ömer Akgüller Mehmet Ali Balcı Larissa M. Batrancea Lucian Gaban |
| author_facet | Ömer Akgüller Mehmet Ali Balcı Larissa M. Batrancea Lucian Gaban |
| author_sort | Ömer Akgüller |
| collection | DOAJ |
| description | Using networks to analyze time series has become increasingly popular in recent years. Univariate and multivariate time series can be mapped to networks in order to examine both local and global behaviors. Visibility graph-based time series analysis is proposed herein; in this approach, individual time series are mapped to visibility graphs that characterize relevant states. Companies listed on the emerging market index Borsa Istanbul 100 (BIST 100) had their market visibility graphs collected. To further account for the local extreme values of the underlying time series, we constructed a novel kernel function of the visibility graphs. Via the provided novel measure, sector-level and sector-to-sector analyses are conducted using the kernel function associated with this metric. To examine sectoral trends, the COVID-19 crisis period was included in the study’s data set. The findings indicate that an effective strategy for analyzing financial time series has been devised. |
| first_indexed | 2024-03-11T06:13:20Z |
| format | Article |
| id | doaj.art-63465df92fc04781acd95686a046ec6c |
| institution | Directory Open Access Journal |
| issn | 2227-7390 |
| language | English |
| last_indexed | 2024-03-11T06:13:20Z |
| publishDate | 2023-03-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj.art-63465df92fc04781acd95686a046ec6c2023-11-17T12:29:53ZengMDPI AGMathematics2227-73902023-03-01116152810.3390/math11061528Path-Based Visibility Graph Kernel and Application for the Borsa Istanbul Stock NetworkÖmer Akgüller0Mehmet Ali Balcı1Larissa M. Batrancea2Lucian Gaban3Department of Mathematics, Muğla Sıtkı Koçman University, 48000 Muğla, TurkeyDepartment of Mathematics, Muğla Sıtkı Koçman University, 48000 Muğla, TurkeyDepartment of Business, Babeş-Bolyai University, 400174 Cluj-Napoca, RomaniaFaculty of Economics, “1 Decembrie 1918” University of Alba Iulia, 510009 Alba Iulia, RomaniaUsing networks to analyze time series has become increasingly popular in recent years. Univariate and multivariate time series can be mapped to networks in order to examine both local and global behaviors. Visibility graph-based time series analysis is proposed herein; in this approach, individual time series are mapped to visibility graphs that characterize relevant states. Companies listed on the emerging market index Borsa Istanbul 100 (BIST 100) had their market visibility graphs collected. To further account for the local extreme values of the underlying time series, we constructed a novel kernel function of the visibility graphs. Via the provided novel measure, sector-level and sector-to-sector analyses are conducted using the kernel function associated with this metric. To examine sectoral trends, the COVID-19 crisis period was included in the study’s data set. The findings indicate that an effective strategy for analyzing financial time series has been devised.https://www.mdpi.com/2227-7390/11/6/1528visibility graphsstock market networkgraph kernel |
| spellingShingle | Ömer Akgüller Mehmet Ali Balcı Larissa M. Batrancea Lucian Gaban Path-Based Visibility Graph Kernel and Application for the Borsa Istanbul Stock Network Mathematics visibility graphs stock market network graph kernel |
| title | Path-Based Visibility Graph Kernel and Application for the Borsa Istanbul Stock Network |
| title_full | Path-Based Visibility Graph Kernel and Application for the Borsa Istanbul Stock Network |
| title_fullStr | Path-Based Visibility Graph Kernel and Application for the Borsa Istanbul Stock Network |
| title_full_unstemmed | Path-Based Visibility Graph Kernel and Application for the Borsa Istanbul Stock Network |
| title_short | Path-Based Visibility Graph Kernel and Application for the Borsa Istanbul Stock Network |
| title_sort | path based visibility graph kernel and application for the borsa istanbul stock network |
| topic | visibility graphs stock market network graph kernel |
| url | https://www.mdpi.com/2227-7390/11/6/1528 |
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