论文标题
通过拓扑数据分析对闪存崩溃的调查
Investigation of Flash Crash via Topological Data Analysis
论文作者
论文摘要
拓扑数据分析已被认为是各个领域中最成功的数学数据分析方法之一，包括医学，遗传学和图像分析。在本文中，我们通过应用持久性景观和动态时间序列分析来分析股票市场中的极端事件（称为Flash Crash），探讨了这种金融中这种方法的潜力。我们将提供实证研究的结果，以确认我们新方法的有效性，不仅是为了表征这一极端事件的表征，而且还出于其预测目的。
Topological data analysis has been acknowledged as one of the most successful mathematical data analytic methodologies in various fields including medicine, genetics, and image analysis. In this paper, we explore the potential of this methodology in finance by applying persistence landscape and dynamic time series analysis to analyze an extreme event in the stock market, known as Flash Crash. We will provide results of our empirical investigation to confirm the effectiveness of our new method not only for the characterization of this extreme event but also for its prediction purposes.
