Topological Data Analysis for Economics and Finance
Dr Simon Rudkin, University of Manchester
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Uncertainty, volatility and the persistence norms of financial time series
Uncertainty, volatility and the persistence norms of financial time series
With Dr Pawel Dlotko (Dioscuri Centre in Topological Data Analysis) and Wanling Rudkin (University of Exeter)
In this paper we ask how the uncertainty indexes commonly used in the asset pricing literature compare with the topological data analysis persistence norms computed on a simple four US market return cloud.
Published paper: Rudkin, S., Qiu, W., & Dłotko, P. (2023). Uncertainty, volatility and the persistence norms of financial time series. Expert Systems with Applications, 119894. Open Access Link
Code: GitHub Link
Ball Mapper for Regional Studies
Ball Mapper for Regional Studies
A workshop from July 2022 supported by the University of Manchester Open Access Reseach Fund introducing Topological Data Analysis Ball Mapper for use in the analysis of regional data GitHub Video Recording
Topological Data Analysis Ball Mapper (Published Work)
Rudkin, S., Barros, L., Dłotko, P., & Qiu, W. (2023). An economic topology of the Brexit vote. Regional Studies, 1-18. Open Access Link
Dlotko, P., Qiu, W., & Rudkin, S. (2021). Financial ratios and stock returns reappraised through a topological data analysis lens, The European Journal of Finance, 1-25 (In Press)
Qiu, W., Rudkin, S., & Dłotko, P. (2020). Refining understanding of corporate failure through a topological data analysis mapping of Altman’s Z-score model. Expert Systems with Applications, 156, 113475.
Topological Data Analysis: Ball Mapper (Working Papers)
Rudkin, S., Webber, D. J., & Dlotko, P. (2023). Spatial Disparities in Infection Rates at the Dawn of a Pandemic: Wealthy Young Workers Mattered. Available at SSRN 4356837. LINK
Rudkin, S., & Webber, D. J. (2023). Regional growth paths and regional resilience. Available at SSRN 4333276. LINK
Dlotko, P., Qiu, W., & Rudkin, S. (2022). Topological data analysis ball mapper for finance. arXiv preprint arXiv:2206.03622 LINK
Dlotko, P., & Rudkin, S. (2020). Visualising the evolution of English COVID-19 cases with topological data analysis Ball Mapper. arXiv preprint arXiv:2004.03282.LINK
Dlotko, P., & Rudkin, S. (2020). Covid-19 clinical data analysis using Ball Mapper. medRxiv. LINK
Dlotko, P., Qiu, W., & Rudkin, S. (2019). Financial ratios and stock returns reappraised through a topological data analysis lens. arXiv preprint arXiv:1911.10297. LINK
Dlotko, P., Rudkin, S., & Qiu, W. (2019). Topologically Mapping the Macroeconomy. arXiv preprint arXiv:1911.10476. LINK
Topological Data Analysis: Time Series (Published Work)
Rudkin, S., Qiu, W., & Dłotko, P. (2023). Uncertainty, volatility and the persistence norms of financial time series. Expert Systems with Applications, 119894. Open Access Link
Rudkin, S., Rudkin, W., & Dłotko, P. (2023). On the topology of cryptocurrency markets. International Review of Financial Analysis, 102759. Open Access Link
Topological Data Analysis: Time Series (Working Papers)
Dłotko, P., Qiu, W., & Rudkin, S. (2019). Cyclicality, periodicity and the topology of time series. arXiv preprint arXiv:1905.12118. LINK
Dlotko, P., & Rudkin, S. (2019). The Topology of Time Series: Improving Recession Forecasting from Yield Spreads (No. 2019-02). LINK
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