Measuring the Topological Time Irreversibility of Time Series With the Degree-Vector-Based Visibility Graph Method

Time irreversibility of a time series, which can be defined as the variance of properties under the time-reversal transformation, is a cardinal property of non-equilibrium systems and is associated with predictability in the study of financial time series. Recent pieces of literature have proposed t...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	Ryutaro Mori, Ruiyun Liu, Yu Chen
Formato:	article
Lenguaje:	EN
Publicado:	Frontiers Media S.A. 2021
Materias:	time series analysis time-reversibility visibility graph time series motifs time series similarity Physics QC1-999
Acceso en línea:	https://doaj.org/article/58bfc738c58b4abb952ebeaee66e1dc2
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:58bfc738c58b4abb952ebeaee66e1dc2
record_format	dspace
spelling	oai:doaj.org-article:58bfc738c58b4abb952ebeaee66e1dc22021-11-12T06:26:16ZMeasuring the Topological Time Irreversibility of Time Series With the Degree-Vector-Based Visibility Graph Method2296-424X10.3389/fphy.2021.777958https://doaj.org/article/58bfc738c58b4abb952ebeaee66e1dc22021-11-01T00:00:00Zhttps://www.frontiersin.org/articles/10.3389/fphy.2021.777958/fullhttps://doaj.org/toc/2296-424XTime irreversibility of a time series, which can be defined as the variance of properties under the time-reversal transformation, is a cardinal property of non-equilibrium systems and is associated with predictability in the study of financial time series. Recent pieces of literature have proposed the visibility-graph-based approaches that specifically refer to topological properties of the network mapped from a time series, with which one can quantify different degrees of time irreversibility within the sets of statistically time-asymmetric series. However, all these studies have inadequacies in capturing the time irreversibility of some important classes of time series. Here, we extend the visibility-graph-based method by introducing a degree vector associated with network nodes to represent the characteristic patterns of the index motion. The newly proposed method is parameter-free and temporally local. The validation to canonical synthetic time series, in the aspect of time (ir)reversibility, illustrates that our method can differentiate a non-Markovian additive random walk from an unbiased Markovian walk, as well as a GARCH time series from an unbiased multiplicative random walk. We further apply the method to the real-world financial time series and find that the price motions occasionally equip much higher time irreversibility than the calibrated GARCH model does.Ryutaro MoriRuiyun LiuYu ChenFrontiers Media S.A.articletime series analysistime-reversibilityvisibility graphtime series motifstime series similarityPhysicsQC1-999ENFrontiers in Physics, Vol 9 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	time series analysis time-reversibility visibility graph time series motifs time series similarity Physics QC1-999
spellingShingle	time series analysis time-reversibility visibility graph time series motifs time series similarity Physics QC1-999 Ryutaro Mori Ruiyun Liu Yu Chen Measuring the Topological Time Irreversibility of Time Series With the Degree-Vector-Based Visibility Graph Method
description	Time irreversibility of a time series, which can be defined as the variance of properties under the time-reversal transformation, is a cardinal property of non-equilibrium systems and is associated with predictability in the study of financial time series. Recent pieces of literature have proposed the visibility-graph-based approaches that specifically refer to topological properties of the network mapped from a time series, with which one can quantify different degrees of time irreversibility within the sets of statistically time-asymmetric series. However, all these studies have inadequacies in capturing the time irreversibility of some important classes of time series. Here, we extend the visibility-graph-based method by introducing a degree vector associated with network nodes to represent the characteristic patterns of the index motion. The newly proposed method is parameter-free and temporally local. The validation to canonical synthetic time series, in the aspect of time (ir)reversibility, illustrates that our method can differentiate a non-Markovian additive random walk from an unbiased Markovian walk, as well as a GARCH time series from an unbiased multiplicative random walk. We further apply the method to the real-world financial time series and find that the price motions occasionally equip much higher time irreversibility than the calibrated GARCH model does.
format	article
author	Ryutaro Mori Ruiyun Liu Yu Chen
author_facet	Ryutaro Mori Ruiyun Liu Yu Chen
author_sort	Ryutaro Mori
title	Measuring the Topological Time Irreversibility of Time Series With the Degree-Vector-Based Visibility Graph Method
title_short	Measuring the Topological Time Irreversibility of Time Series With the Degree-Vector-Based Visibility Graph Method
title_full	Measuring the Topological Time Irreversibility of Time Series With the Degree-Vector-Based Visibility Graph Method
title_fullStr	Measuring the Topological Time Irreversibility of Time Series With the Degree-Vector-Based Visibility Graph Method
title_full_unstemmed	Measuring the Topological Time Irreversibility of Time Series With the Degree-Vector-Based Visibility Graph Method
title_sort	measuring the topological time irreversibility of time series with the degree-vector-based visibility graph method
publisher	Frontiers Media S.A.
publishDate	2021
url	https://doaj.org/article/58bfc738c58b4abb952ebeaee66e1dc2
work_keys_str_mv	AT ryutaromori measuringthetopologicaltimeirreversibilityoftimeserieswiththedegreevectorbasedvisibilitygraphmethod AT ruiyunliu measuringthetopologicaltimeirreversibilityoftimeserieswiththedegreevectorbasedvisibilitygraphmethod AT yuchen measuringthetopologicaltimeirreversibilityoftimeserieswiththedegreevectorbasedvisibilitygraphmethod
_version_	1718431169806073856

Measuring the Topological Time Irreversibility of Time Series With the Degree-Vector-Based Visibility Graph Method

Ejemplares similares