Time series analysis of S&P 500 index: A horizontal visibility graph approach

Michail D. Vamvakaris, Athanasios A. Pantelous and Konstantin M. Zuev

Physica A: Statistical Mechanics and its Applications, 2018, vol. 497, issue C, 41-51

Abstract: The behavior of stock prices has been thoroughly studied throughout the last century, and contradictory results have been reported in the corresponding literature. In this paper, a network theoretical approach is provided to investigate how crises affected the behavior of US stock prices. We analyze high frequency data from S&P500 via the Horizontal Visibility Graph method, and find that all major crises that took place worldwide in the last twenty years, affected significantly the behavior of the price-index. Nevertheless, we observe that each of those crises impacted the index in a different way and magnitude. Interestingly, our results suggest that the predictability of the price-index series increases during the periods of crises.

Keywords: S&P500 index; High frequency data; Horizontal visibility graph; Chaos theory; Irreversibility; Financial crises (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:497:y:2018:i:c:p:41-51

DOI: 10.1016/j.physa.2018.01.010

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