Time series analysis of S&P 500 index: A horizontal visibility graph approach

Michail D. Vamvakaris, Athanasios A. Pantelous, Konstantin M. Zuev

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12 Citations (Scopus)

Abstract

The behavior of stock prices has been thoroughly studied throughout the last century, and contradictory results have been reported in the corresponding literature. In this paper, a network theoretical approach is provided to investigate how crises affected the behavior of US stock prices. We analyze high frequency data from S&P500 via the Horizontal Visibility Graph method, and find that all major crises that took place worldwide in the last twenty years, affected significantly the behavior of the price-index. Nevertheless, we observe that each of those crises impacted the index in a different way and magnitude. Interestingly, our results suggest that the predictability of the price-index series increases during the periods of crises.

Original languageEnglish
Pages (from-to)41-51
Number of pages11
JournalPhysica A: Statistical Mechanics and its Applications
Volume497
DOIs
Publication statusPublished - 1 May 2018

Keywords

  • Chaos theory
  • Financial crises
  • High frequency data
  • Horizontal visibility graph
  • Irreversibility
  • S&P500 index

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