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Nishikawa Y, Yoshino T, Sugie T, Nakata Y, Itou K, Ohsawa Y. Explanatory Change Detection in Financial Markets by Graph-Based Entropy and Inter-Domain Linkage. ENTROPY (BASEL, SWITZERLAND) 2022; 24:1726. [PMID: 36554130 PMCID: PMC9778065 DOI: 10.3390/e24121726] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Key Words] [Track Full Text] [Figures] [Subscribe] [Scholar Register] [Received: 09/24/2022] [Revised: 10/25/2022] [Accepted: 11/22/2022] [Indexed: 06/17/2023]
Abstract
In this study, we analyzed structural changes in financial markets under COVID-19 to support investors' investment decisions. Because an explanation of these changes is necessary to respond appropriately to said changes and prepare for similar major changes in the future, we visualized the financial market as a graph. The hypothesis was based on expertise in the financial market, and the graph was analyzed from a detailed perspective by dividing the graph into domains. We also designed an original change-detection indicator based on the structure of the graph. The results showed that the original indicator was more effective than the comparison method in terms of both the speed of response and accuracy. Explanatory change detection of this method using graphs and domains allowed investors to consider specific strategies.
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Affiliation(s)
- Yosuke Nishikawa
- Department of Systems Innovation, School of Engineering, The University of Tokyo, 7-3-1, Hongo, Bunkyo-ku, Tokyo 113-8656, Japan
| | - Takaaki Yoshino
- Nissay Asset Management Corporation, Marunouchi Building, 1-6-6, Marunouchi, Chiyoda-ku, Tokyo 100-8219, Japan
| | - Toshiaki Sugie
- Nissay Asset Management Corporation, Marunouchi Building, 1-6-6, Marunouchi, Chiyoda-ku, Tokyo 100-8219, Japan
| | - Yoshiyuki Nakata
- Nissay Asset Management Corporation, Marunouchi Building, 1-6-6, Marunouchi, Chiyoda-ku, Tokyo 100-8219, Japan
| | - Kakeru Itou
- Nissay Asset Management Corporation, Marunouchi Building, 1-6-6, Marunouchi, Chiyoda-ku, Tokyo 100-8219, Japan
| | - Yukio Ohsawa
- Department of Systems Innovation, School of Engineering, The University of Tokyo, 7-3-1, Hongo, Bunkyo-ku, Tokyo 113-8656, Japan
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