Empirical Mode Decomposition and Graph Transformation of the MSCI World Index: A Multiscale Topological Analysis for Graph Neural Network Modeling

Agust\'in M. de los Riscos, Julio E. Sandubete, Diego Carmona-Fern\'andez and Le\'on Bele\~na

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Abstract: This study applies Empirical Mode Decomposition (EMD) to the MSCI World index and converts the resulting intrinsic mode functions (IMFs) into graph representations to enable modeling with graph neural networks (GNNs). Using CEEMDAN, we extract nine IMFs spanning high-frequency fluctuations to long-term trends. Each IMF is transformed into a graph using four time-series-to-graph methods: natural visibility, horizontal visibility, recurrence, and transition graphs. Topological analysis shows clear scale-dependent structure: high-frequency IMFs yield dense, highly connected small-world graphs, whereas low-frequency IMFs produce sparser networks with longer characteristic path lengths. Visibility-based methods are more sensitive to amplitude variability and typically generate higher clustering, while recurrence graphs better preserve temporal dependencies. These results provide guidance for designing GNN architectures tailored to the structural properties of decomposed components, supporting more effective predictive modeling of financial time series.

Date: 2025-12
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