Corpus ID: 218763289

Detecting and explaining changes in various assets' relationships in financial markets

@article{Naraoka2020DetectingAE,
  title={Detecting and explaining changes in various assets' relationships in financial markets},
  author={Makoto Naraoka and Teruaki Hayashi and Yukio Ohsawa and Takaaki Yoshino and Toshiaki Sugie and Kota Takano},
  journal={ArXiv},
  year={2020},
  volume={abs/2005.10603}
}
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… Expand

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