The study of Thai stock market across the 2008 financial crisis

Kabin Kanjamapornkul, Richard Pin\v{c}\'ak and Erik Barto\v{s}

Papers from arXiv.org

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.

Date: 2016-06
New Economics Papers: this item is included in nep-fmk
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Published in Physica A462 (2016) 117-133

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