IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v499y2018icp241-249.html
   My bibliography  Save this article

Time irreversibility and intrinsics revealing of series with complex network approach

Author

Listed:
  • Xiong, Hui
  • Shang, Pengjian
  • Xia, Jianan
  • Wang, Jing

Abstract

In this work, we analyze time series on the basis of the visibility graph algorithm that maps the original series into a graph. By taking into account the all-round information carried by the signals, the time irreversibility and fractal behavior of series are evaluated from a complex network perspective, and considered signals are further classified from different aspects. The reliability of the proposed analysis is supported by numerical simulations on synthesized uncorrelated random noise, short-term correlated chaotic systems and long-term correlated fractal processes, and by the empirical analysis on daily closing prices of eleven worldwide stock indices. Obtained results suggest that finite size has a significant effect on the evaluation, and that there might be no direct relation between the time irreversibility and long-range correlation of series. Similarity and dissimilarity between stock indices are also indicated from respective regional and global perspectives, showing the existence of multiple features of underlying systems.

Suggested Citation

  • Xiong, Hui & Shang, Pengjian & Xia, Jianan & Wang, Jing, 2018. "Time irreversibility and intrinsics revealing of series with complex network approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 241-249.
    • Handle: RePEc:eee:phsmap:v:499:y:2018:i:c:p:241-249
    DOI: 10.1016/j.physa.2018.02.041
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437118301171
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
    File URL: https://libkey.io/10.1016/j.physa.2018.02.041?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Lucas Lacasa & Ryan Flanagan, 2016. "Irreversibility of financial time series: a graph-theoretical approach," Papers 1601.01980, arXiv.org.
    2. Cammarota, Camillo & Rogora, Enrico, 2007. "Time reversal, symbolic series and irreversibility of human heartbeat," Chaos, Solitons & Fractals, Elsevier, vol. 32(5), pages 1649-1654.
    3. Serinaldi, Francesco & Kilsby, Chris G., 2016. "Irreversibility and complex network behavior of stream flow fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 450(C), pages 585-600.
    4. Xie, Wen-Jie & Zhou, Wei-Xing, 2011. "Horizontal visibility graphs transformed from fractional Brownian motions: Topological properties versus the Hurst index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3592-3601.
    5. Podobnik, Boris & Horvatic, Davor & Lam Ng, Alfonso & Eugene Stanley, H. & Ivanov, Plamen Ch., 2008. "Modeling long-range cross-correlations in two-component ARFIMA and FIARCH processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3954-3959.
    6. Xia, Jianan & Shang, Pengjian & Wang, Jing & Shi, Wenbin, 2014. "Classifying of financial time series based on multiscale entropy and multiscale time irreversibility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 400(C), pages 151-158.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Huang, Yong & Yang, Dongqing & Wang, Lei & Wang, Kehong, 2020. "Classifying of welding time series based on multi-scale time irreversibility analysis and extreme learning machine," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
    2. Wu, Zhenyu & Shang, Pengjian & Xiong, Hui, 2018. "An improvement of the measurement of time series irreversibility with visibility graph approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 370-378.
    3. Rong, Lei & Shang, Pengjian, 2018. "New irreversibility measure and complexity analysis based on singular value decomposition," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 913-924.
    4. Xiong, Hui & Shang, Pengjian & He, Jiayi, 2019. "Nonuniversality of the horizontal visibility graph in inferring series periodicity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    5. Olivares, Felipe & Sun, Xiaoqian & Wandelt, Sebastian & Zanin, Massimiliano, 2023. "Measuring landing independence and interactions using statistical physics," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 170(C).
    6. Li, Jinyang & Shang, Pengjian, 2018. "Time irreversibility of financial time series based on higher moments and multiscale Kullback–Leibler divergence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 248-255.
    7. Xu, Mengjia & Shang, Pengjian & Lin, Aijing, 2017. "Multiscale recurrence quantification analysis of order recurrence plots," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 381-389.
    8. El Alaoui, Marwane & Benbachir, Saâd, 2013. "Multifractal detrended cross-correlation analysis in the MENA area," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5985-5993.
    9. Kang, Sang Hoon & Yoon, Seong-Min, 2008. "Long memory features in the high frequency data of the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5189-5196.
    10. Li, Shuping & Lu, Xinsheng & Li, Jianfeng, 2021. "Cross-correlations between the P2P interest rate, Shibor and treasury yields," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
    11. Al Rahahleh, Naseem & Bhatti, M. Ishaq, 2017. "Co-movement measure of information transmission on international equity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 470(C), pages 119-131.
    12. Hu, Xiaohua & Niu, Min, 2023. "Horizontal visibility graphs mapped from multifractal trinomial measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 626(C).
    13. Li, Chao & Shang, Pengjian, 2018. "Complexity analysis based on generalized deviation for financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 118-128.
    14. Wang, Yuanyuan & Shang, Pengjian, 2018. "A new measurement of financial time irreversibility based on information measures method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 221-230.
    15. Li, Zhihui & Lu, Xinsheng, 2012. "Cross-correlations between agricultural commodity futures markets in the US and China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(15), pages 3930-3941.
    16. Rong, Lei & Shang, Pengjian, 2020. "Evaluation of missing ordinal pattern and its fractional distribution entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    17. Yeh, Chien-Hung & Lo, Men-Tzung & Hu, Kun, 2016. "Spurious cross-frequency amplitude–amplitude coupling in nonstationary, nonlinear signals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 454(C), pages 143-150.
    18. Yin, Yi & Shang, Pengjian & Feng, Guochen, 2016. "Modified multiscale cross-sample entropy for complex time series," Applied Mathematics and Computation, Elsevier, vol. 289(C), pages 98-110.
    19. Zhang, Yongping & Shang, Pengjian, 2018. "Refined composite multiscale weighted-permutation entropy of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 496(C), pages 189-199.
    20. Zhao, Xiaojun & Zhang, Pengyuan, 2020. "Multiscale horizontal visibility entropy: Measuring the temporal complexity of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:499:y:2018:i:c:p:241-249. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.