Uncertainty, volatility and the persistence norms of financial time series

Simon Rudkin, Wanling Qiu and Pawel Dlotko

Papers from arXiv.org

Abstract: 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 regression. Persistence norms therefore have potential as a further tool in asset pricing, and also as a means of capturing signals from financial time series beyond volatility.

Date: 2021-09
New Economics Papers: this item is included in nep-fdg, nep-fmk and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2110.00098

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