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Reconstructing a complex financial network using compressed sensing based on low-frequency time series data

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  • Si, Jingjian
  • Zhou, Jinsheng
  • Gao, Xiangyun
  • Ze, Wang
  • Tao, Wu
  • Zhao, Yiran

Abstract

Financial time series data are often used to construct financial complex networks for studying price volatility transmission, risk diffusion and asset portfolio and so on. High frequency Network can provide more effective information for exploring network structure and more accurate research on network evolution rules. The motivation of this paper is to construct high frequency networks using low frequency data when high frequency data is unavailable, with improvement of compressed sensing method. Results show that the network reconstructed by compressed sensing is closer to the high frequency network. In conclusion, compressed sensing can be applied to solve financial practice problem.

Suggested Citation

  • Si, Jingjian & Zhou, Jinsheng & Gao, Xiangyun & Ze, Wang & Tao, Wu & Zhao, Yiran, 2022. "Reconstructing a complex financial network using compressed sensing based on low-frequency time series data," Finance Research Letters, Elsevier, vol. 49(C).
    • Handle: RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003221
    DOI: 10.1016/j.frl.2022.103097
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    References listed on IDEAS

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