• Corpus ID: 238253047

Uncertainty, volatility and the persistence norms of financial time series

@inproceedings{Rudkin2021UncertaintyVA,
  title={Uncertainty, volatility and the persistence norms of financial time series},
  author={Simon Rudkin and Wanling Qiu and Pawel Dlotko},
  year={2021}
}
Norms of Persistent Homology introduced in topological data analysis are seen as indicators of system instability, analogous to the changing predictability that is captured in financial market uncertainty indexes. This paper demonstrates norms from the financial markets are significant in explaining financial uncertainty, whilst macroeconomic uncertainty is only explainable by market volatility. Meanwhile, volatility is insignificant in the determination of norms when uncertainty enters the… 

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