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Neuro-Fuzzy Modeling Techniques in Economics

Neuro-Fuzzy Modeling Techniques in Economics

ISSN 2415-3516
Соловйов Володимир Миколайович  
Vladimir Soloviev  
Соловйова Вікторія  
Viktoria Solovieva  
Тулякова Анна
Anna Tuliakova

Графи видимості і передвісники фондових крахів

Visibility graphs and precursors of stock crashes

DOI:

10.33111/nfmte.2019.003

Анотація: Виходячи з мережної парадигми складності, у роботі проведено системний аналіз динаміки найбільших фондових ринків світу. За алгоритмом графа видимості щоденні значення фондових індексів перетворено у мережу, спектральні і топологічні властивості якої чутливі до критичних і кризових явищ досліджуваних складних систем. Показано, що деякі із спектральних і топологічних характеристик можуть слугувати мірами складності фондового ринку, а їх специфічна поведінка у передкризовий період використовуватись у якості індикаторів-передвісників кризових явищ. Вплив процесів глобалізації на світовий фондовий ринок враховано шляхом розрахунку міжмережніх (мультиплексних) мір складності, які певним чином модифікують, але не змінюють принципово прогнозних можливостей запропонованих індикаторів-передвісників.
Abstract: Based on the network paradigm of complexity, a systematic analysis of the dynamics of the largest stock markets in the world has been carried out in the work. According to the algorithm of the visibility graph, the daily values of stock indices are converted into a network, the spectral and topological properties of which are sensitive to the critical and crisis phenomena of the studied complex systems. It is shown that some of the spectral and topological characteristics can serve as measures of the complexity of the stock market, and their specific behaviour in the pre-crisis period is used as indicators-precursors of crisis phenomena. The influence of globalization processes on the world stock market is taken into account by calculating the interconnection (multiplex) measures of complexity, which modifies in some way, but does not change the fundamentally predictive possibilities of the proposed indicators-precursors.
Ключові слова: фондові ринки, теорія графів, складні мережі, граф видимості, спектральний і топологічний аналізи, міри складності, мультиплексні системи, крахи фінансових систем
Key words: stock markets, graph theory, complex networks, visibility graph, spectral and topological analyzes, complexity measures, multiplex systems, financial system crashes
УДК: 330.4, 519.866, 519.246.8
UDC: 330.4, 519.866, 519.246.8

JEL: C69 F37

To cite paper
In APA style
Soloviev, V., Solovieva, V., & Tuliakova, A. (2019). Visibility graphs and precursors of stock crashes. Neuro-Fuzzy Modeling Techniques in Economics, 8, 3-29. http://doi.org/10.33111/nfmte.2019.003
In MON style
Соловйов В.М., Соловйова В., Тулякова А. Графи видимості і передвісники фондових крахів. Нейро-нечіткі технології моделювання в економіці. 2019. № 8. С. 3-29. http://doi.org/10.33111/nfmte.2019.003 (дата звернення: 13.09.2025).
With transliteration
Soloviev, V., Solovieva, V., Tuliakova, A. (2019) Hrafy vydymosti i peredvisnyky fondovykh krakhiv [Visibility graphs and precursors of stock crashes]. Neuro-Fuzzy Modeling Techniques in Economics, no. 8. pp. 3-29. http://doi.org/10.33111/nfmte.2019.003 (accessed 13 Sep 2025).
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