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Correlations of stock price fluctuations under multi-scale and multi-threshold scenarios

Guo Sui, Huajiao Li, Sida Feng, Xueyong Liu and Meihui Jiang

Physica A: Statistical Mechanics and its Applications, 2018, vol. 490, issue C, 1501-1512

Abstract: The multi-scale method is widely used in analyzing time series of financial markets and it can provide market information for different economic entities who focus on different periods. Through constructing multi-scale networks of price fluctuation correlation in the stock market, we can detect the topological relationship between each time series. Previous research has not addressed the problem that the original fluctuation correlation networks are fully connected networks and more information exists within these networks that is currently being utilized. Here we use listed coal companies as a case study. First, we decompose the original stock price fluctuation series into different time scales. Second, we construct the stock price fluctuation correlation networks at different time scales. Third, we delete the edges of the network based on thresholds and analyze the network indicators. Through combining the multi-scale method with the multi-threshold method, we bring to light the implicit information of fully connected networks.

Keywords: Wavelet transform; Multi-scale time series; Multi-threshold method; Coal listed companies; Stock price fluctuation network (search for similar items in EconPapers)
Date: 2018
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Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

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