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Indicator from the graph Laplacian of stock market time series cross sections can precisely determine the durations of market crashes
Sep 23, 2024
Kang, Zheng Tien, 2024, "Indicator from the graph Laplacian of stock market time series cross sections can precisely determine the durations of market crashes", https://doi.org/10.21979/N9/7YNZAQ, DR-NTU (Data), V2
This repository include the processed ultrametric distance matrices data, MATLAB scripts and data holder files (in .mat format) used to generate the results and figures in the PLOS paper with the above title.
Codes.7z
Sep 23, 2024 - Indicator from the graph Laplacian of stock market time series cross sections can precisely determine the durations of market crashes
Compressed Archive - 320.3 KB - MD5: 85a788dc793aa70da2988f0608c98d84
MATLAB scripts and data holder files The ultrametric distance matrices (stored in .dat files, which are archived and zipped in .7z format) need to be fed into MATLAB via the MATLAB scripts in this archive to produce the .mat files (also in this zipped archive) for further analys...
Data (N225, SGX, SP500).7z
Sep 23, 2024 - Indicator from the graph Laplacian of stock market time series cross sections can precisely determine the durations of market crashes
Compressed Archive - 3.8 GB - MD5: 61211c31ae7a5fa3b9bc0622ab79b3a4
Ultrametric distance matrices for S&P 500, Nikkei 225 and SGX (whole market) The .dat ultrametric distance files are processed from Yahoo Finance stock price return's cross-correlation data. The files are grouped by markets (S&P 500, Nikkei 225 and the whole SGX market), by time...
Data (TWSE).7z
Sep 23, 2024 - Indicator from the graph Laplacian of stock market time series cross sections can precisely determine the durations of market crashes
Compressed Archive - 6.8 GB - MD5: bcf13c5ba12eb1afa1361caa750ce777
Ultrametric distance matrices for TWSE (whole market) The .dat ultrametric distance files are processed from Yahoo Finance stock price return's cross-correlation data. The TAIEX index (tracking the entire TWSE market) has about 900-1000 stocks, twice the number of constituents o...
README.txt
Sep 23, 2024 - Indicator from the graph Laplacian of stock market time series cross sections can precisely determine the durations of market crashes
Plain Text - 4.7 KB - MD5: dd06d65f5edaa472e3c36040bd5384fc
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