Xuan Huang

Characteristics of the transmission of autoregressive sub-patterns in financial time series

There are many types of autoregressive patterns in financial time series, and they form a transmission process. Here, we define autoregressive patterns quantitatively through an econometrical regression model. We present a computational algorithm that sets the autoregressive patterns as nodes and transmissions between patterns as edges, and then converts the transmission process of autoregressive patterns in a time series into a network. We utilised daily Shanghai (securities) composite index time series to study the transmission characteristics of autoregressive patterns. We found statistically significant evidence that the financial market is not random and that there are similar characteristics between parts and whole time series. A few types of autoregressive sub-patterns and transmission patterns drive the oscillations of the financial market. A clustering effect on fluctuations appears in the transmission process, and certain non-major autoregressive sub-patterns have high media capabilities in the financial time series. Different stock indexes exhibit similar characteristics in the transmission of fluctuation information. This work not only proposes a distinctive perspective for analysing financial time series but also provides important information for investors.

Generating Moving Average Trading Rules on the Oil Futures Market with Genetic Algorithms

The crude oil futures market plays a critical role in energy finance. To gain greater investment return, scholars and traders use technical indicators when selecting trading strategies in oil futures market. In this paper, the authors used moving average prices of oil futures with genetic algorithms to generate profitable trading rules. We defined individuals with different combinations of period lengths and calculation methods as moving average trading rules and used genetic algorithms to search for the suitable lengths of moving average periods and the appropriate calculation methods. The authors used daily crude oil prices of NYMEX futures from 1983 to 2013 to evaluate and select moving average rules. We compared the generated trading rules with the buy-and-hold (BH) strategy to determine whether generated moving average trading rules can obtain excess returns in the crude oil futures market. Through 420 experiments, we determine that the generated trading rules help traders make profits when there are obvious price fluctuations. Generated trading rules can realize excess returns when price falls and experiences significant fluctuations, while BH strategy is better when price increases or is smooth with few fluctuations. The results can help traders choose better strategies in different circumstances.

Words analysis of online Chinese news headlines about trending events: a complex network perspective.

Because the volume of information available online is growing at breakneck speed, keeping up with meaning and information communicated by the media and netizens is a new challenge both for scholars and for companies who must address public relations crises. Most current theories and tools are directed at identifying one website or one piece of online news and do not attempt to develop a rapid understanding of all websites and all news covering one topic. This paper represents an effort to integrate statistics, word segmentation, complex networks and visualization to analyze headlines’ keywords and words relationships in online Chinese news using two samples: the 2011 Bohai Bay oil spill and the 2010 Gulf of Mexico oil spill. We gathered all the news headlines concerning the two trending events in the search results from Baidu, the most popular Chinese search engine. We used Simple Chinese Word Segmentation to segment all the headlines into words and then took words as nodes and considered adjacent relations as edges to construct word networks both using the whole sample and at the monthly level. Finally, we develop an integrated mechanism to analyze the features of words’ networks based on news headlines that can account for all the keywords in the news about a particular event and therefore track the evolution of news deeply and rapidly.

The Multiscale Conformation Evolution of the Financial Time Series

Fluctuations of the nonlinear time series are driven by the traverses of multiscale conformations from one state to another. Aiming to characterize the evolution of multiscale conformations with changes in time and frequency domains, we present an algorithm that combines the wavelet transform and the complex network. Based on defining the multiscale conformation using a set of fluctuation states from different frequency components at each time point rather than the single observable value, we construct the conformational evolution complex network. To illustrate, using data of Shanghai’s composition index with daily frequency from 1991 to 2014 as an example, we find that a few major conformations are the main contributors of evolution progress, the whole conformational evolution network has a clustering effect, and there is a turning point when the size of the chain of multiscale conformations is 14. This work presents a refined perspective into underlying fluctuation features of financial markets.