The study of Thai stock market across the 2008 financial crisis
arXiv:1606.02871 · doi:10.1016/j.physa.2016.06.078
Abstract
The cohomology theory for financial market can allow us to deform Kolmogorov space of time series data over time period with the explicit definition of eight market states in grand unified theory. The anti-de Sitter space induced from a coupling behavior field among traders in case of a financial market crash acts like gravitational field in financial market spacetime. Under this hybrid mathematical superstructure, we redefine a behavior matrix by using Pauli matrix and modified Wilson loop for time series data. We use it to detect the 2008 financial market crash by using a degree of cohomology group of sphere over tensor field in correlation matrix over all possible dominated stocks underlying Thai SET50 Index Futures. The empirical analysis of financial tensor network was performed with the help of empirical mode decomposition and intrinsic time scale decomposition of correlation matrix and the calculation of closeness centrality of planar graph.
arXiv comment18 pages, 11 figures, 1 table
References in corpus (17)
- Hierarchical Structure in Financial Markets
- A tool for filtering information in complex systems
- Correlation based networks of equity returns sampled at different time horizons
- Mode coupling in the nonlinear response of black holes
- Gravitational waves from isolated systems: Surprising consequences of a positive cosmological constant
- Linearized solutions of the Einstein equations within a Bondi-Sachs framework, and implications for boundary conditions in numerical simulations
- Statistical Properties of Cross-Correlation in the Korean Stock Market
- Khovanov homology is a skew Howe 2-representation of categorified quantum sl(m)
- Gravitational waves in a de Sitter universe
- Kolmogorov Space in Time Series Data
- On transverse invariants from Khovanov homology
- The string prediction models as an invariants of time series in forex market
- Mobius operators and non-additive quantum probabilities in the Birkhoff-von Neumann lattice
- With string model to time series forecasting
- Using String Invariants for Prediction Searching for Optimal Parameters
- Nahm equations in supersymmetric mechanics
- Exact sequences in the cohomology of a group extension