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Explanatory Change Detection in Financial Markets by Graph-Based Entropy and Inter-Domain Linkage.
Nishikawa, Yosuke; Yoshino, Takaaki; Sugie, Toshiaki; Nakata, Yoshiyuki; Itou, Kakeru; Ohsawa, Yukio.
  • Nishikawa Y; Department of Systems Innovation, School of Engineering, The University of Tokyo, 7-3-1, Hongo, Bunkyo-ku, Tokyo 113-8656, Japan.
  • Yoshino T; Nissay Asset Management Corporation, Marunouchi Building, 1-6-6, Marunouchi, Chiyoda-ku, Tokyo 100-8219, Japan.
  • Sugie T; Nissay Asset Management Corporation, Marunouchi Building, 1-6-6, Marunouchi, Chiyoda-ku, Tokyo 100-8219, Japan.
  • Nakata Y; Nissay Asset Management Corporation, Marunouchi Building, 1-6-6, Marunouchi, Chiyoda-ku, Tokyo 100-8219, Japan.
  • Itou K; Nissay Asset Management Corporation, Marunouchi Building, 1-6-6, Marunouchi, Chiyoda-ku, Tokyo 100-8219, Japan.
  • Ohsawa Y; Department of Systems Innovation, School of Engineering, The University of Tokyo, 7-3-1, Hongo, Bunkyo-ku, Tokyo 113-8656, Japan.
Entropy (Basel) ; 24(12)2022 Nov 25.
Article in English | MEDLINE | ID: covidwho-2123551
ABSTRACT
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.
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Full text: Available Collection: International databases Database: MEDLINE Type of study: Diagnostic study / Health_economic_evaluation Language: English Year: 2022 Document Type: Article Affiliation country: E24121726

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Full text: Available Collection: International databases Database: MEDLINE Type of study: Diagnostic study / Health_economic_evaluation Language: English Year: 2022 Document Type: Article Affiliation country: E24121726