1. Analysis of slump and surge phenomenon in Chinese stock market based on sequence alignment method
- Author
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Yingjie Tian, Linqiu Song, Wen Long, and Wenning Yang
- Subjects
Empirical research ,Stock exchange ,Computer science ,Econometrics ,Stock market ,Geometry and Topology ,Time series ,Software ,Theoretical Computer Science - Abstract
The method of sequence alignment in bioinformatics is introduced into financial time series analysis, which can capture the large-scale features of the variables, suppress the noise and reveal the implicit mode of the system from different angles without strict assumptions. Based on existing methods of sequence alignment, we propose a new scoring matrix construction method for financial sequence alignment, a purpose-oriented matrix. This method can be used to extract the feature segments of the sequence. An empirical study of the stocks of Shanghai Stock Exchange and Shenzhen Stock Exchange is implemented with this new method. The results reflect the relationship between the two stock markets under the conditions of boom or bust and confirm the feasibility and effectiveness of introducing the method into the financial analysis.
- Published
- 2020
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