论文标题
检测和解释金融市场中各种资产关系的变化
Detecting and explaining changes in various assets' relationships in financial markets
论文作者
论文摘要
我们研究了检测金融市场中关系变化并提供人解剖网络可视化的方法，以支持与多资产管理的基金经理的决策。首先，我们将每个资产作为节点构建共发生网络，并且在价格变化方面具有牢固关系的一对作为每个时间步骤的边缘。其次，我们计算基于图的熵，以代表基于网络的价格变化。第三，我们将差异网络应用于财务，该网络传统上是在生物信息学领域中使用的。通过上述方法，我们可以看到金融市场何时以及哪种变化发生，哪些资产在金融市场变化中起着核心作用。具有多资产时间序列数据的实验显示，结果符合实际事件，同时保持高解释性。建议这种方法对基金经理用作决策的新选择很有用。
We study the method for detecting relationship changes in financial markets and providing human-interpretable network visualization to support the decision-making of fund managers dealing with multi-assets. First, we construct co-occurrence networks with each asset as a node and a pair with a strong relationship in price change as an edge at each time step. Second, we calculate Graph-Based Entropy to represent the variety of price changes based on the network. Third, we apply the Differential Network to finance, which is traditionally used in the field of bioinformatics. By the method described above, we can visualize when and what kind of changes are occurring in the financial market, and which assets play a central role in changes in financial markets. Experiments with multi-asset time-series data showed results that were well fit with actual events while maintaining high interpretability. It is suggested that this approach is useful for fund managers to use as a new option for decision making.
