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The study of Thai stock market across the 2008 financial crisis

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  • K. Kanjamapornkul
  • Richard Pinv{c}'ak
  • Erik Bartov{s}

Abstract

The cohomology theory for financial market can allow us to deform Kolmogorov space of time series data over time period with the explicit definition of eight market states in grand unified theory. The anti-de Sitter space induced from a coupling behavior field among traders in case of a financial market crash acts like gravitational field in financial market spacetime. Under this hybrid mathematical superstructure, we redefine a behavior matrix by using Pauli matrix and modified Wilson loop for time series data. We use it to detect the 2008 financial market crash by using a degree of cohomology group of sphere over tensor field in correlation matrix over all possible dominated stocks underlying Thai SET50 Index Futures. The empirical analysis of financial tensor network was performed with the help of empirical mode decomposition and intrinsic time scale decomposition of correlation matrix and the calculation of closeness centrality of planar graph.

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  • K. Kanjamapornkul & Richard Pinv{c}'ak & Erik Bartov{s}, 2016. "The study of Thai stock market across the 2008 financial crisis," Papers 1606.02871, arXiv.org.
    • Handle: RePEc:arx:papers:1606.02871
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    1. Baumöhl, Eduard & Kočenda, Evžen & Lyócsa, Štefan & Výrost, Tomáš, 2018. "Networks of volatility spillovers among stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1555-1574.
    2. Jahangoshai Rezaee, Mustafa & Jozmaleki, Mehrdad & Valipour, Mahsa, 2018. "Integrating dynamic fuzzy C-means, data envelopment analysis and artificial neural network to online prediction performance of companies in stock exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 489(C), pages 78-93.
    3. Kanjamapornkul, Kabin & Pinčák, Richard & Bartoš, Erik, 2020. "Cohomology theory for financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 546(C).

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