Date | 2019-10-28 |
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Speaker | 김원세 |
Dept. | 서울대 |
Room | 129-104 |
Time | 17:00-18:00 |
There is by now a quite extensive literature on applications of TDA. But there are only a few literatures on applications of TDA to financial data, including the recent result of Gidea-Katz (2018). Interestingly, Gidea-Katz (2018) showed that a stock market crash can be foreseen via TDA by utilizing daily US stock market indices data (e.g., S&P 500, DJIA, NASDAQ, and Russell 2000). However, the Flash Crash on 6 May 2010 showed that the market can be substantially destabilized in as little as about 30 min. Since the Flash Crash, analyses of market crash of the intraday-horizon has also become important parts of the study of market crash. In this talk, I will demonstrate that the TDA methodology based on Gidea-Katz (2018) can be used in forecasting short term market crash such as Flash Crash.