Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/153765
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dc.contributor.authorYen, Peter Tsung-Wenen_US
dc.contributor.authorXia, Kelinen_US
dc.contributor.authorCheong, Siew Annen_US
dc.date.accessioned2022-06-01T05:46:15Z-
dc.date.available2022-06-01T05:46:15Z-
dc.date.issued2021-
dc.identifier.citationYen, P. T., Xia, K. & Cheong, S. A. (2021). Understanding changes in the topology and geometry of financial market correlations during a market crash. Entropy, 23(9), 1211-. https://dx.doi.org/10.3390/e23091211en_US
dc.identifier.issn1099-4300en_US
dc.identifier.urihttps://hdl.handle.net/10356/153765-
dc.description.abstractIn econophysics, the achievements of information filtering methods over the past 20 years, such as the minimal spanning tree (MST) by Mantegna and the planar maximally filtered graph (PMFG) by Tumminello et al., should be celebrated. Here, we show how one can systematically improve upon this paradigm along two separate directions. First, we used topological data analysis (TDA) to extend the notions of nodes and links in networks to faces, tetrahedrons, or k-simplices in simplicial complexes. Second, we used the Ollivier-Ricci curvature (ORC) to acquire geometric information that cannot be provided by simple information filtering. In this sense, MSTs and PMFGs are but first steps to revealing the topological backbones of financial networks. This is something that TDA can elucidate more fully, following which the ORC can help us flesh out the geometry of financial networks. We applied these two approaches to a recent stock market crash in Taiwan and found that, beyond fusions and fissions, other non-fusion/fission processes such as cavitation, annihilation, rupture, healing, and puncture might also be important. We also successfully identified neck regions that emerged during the crash, based on their negative ORCs, and performed a case study on one such neck region.en_US
dc.language.isoenen_US
dc.relation.ispartofEntropyen_US
dc.rights© 2021 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/).en_US
dc.subjectScience::Physicsen_US
dc.subjectScience::Mathematicsen_US
dc.titleUnderstanding changes in the topology and geometry of financial market correlations during a market crashen_US
dc.typeJournal Articleen
dc.contributor.schoolSchool of Physical and Mathematical Sciencesen_US
dc.identifier.doi10.3390/e23091211-
dc.description.versionPublished versionen_US
dc.identifier.issue9en_US
dc.identifier.volume23en_US
dc.identifier.spage1211en_US
dc.subject.keywordsEconophysicsen_US
dc.subject.keywordsFinancial Marketsen_US
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