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Time series analysis of S&P 500 index: A horizontal visibility graph approach

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  • Vamvakaris, Michail D.
  • Pantelous, Athanasios A.
  • Zuev, Konstantin M.

Abstract

The behavior of stock prices has been thoroughly studied throughout the last century, and contradictory results have been reported in the corresponding literature. In this paper, a network theoretical approach is provided to investigate how crises affected the behavior of US stock prices. We analyze high frequency data from S&P500 via the Horizontal Visibility Graph method, and find that all major crises that took place worldwide in the last twenty years, affected significantly the behavior of the price-index. Nevertheless, we observe that each of those crises impacted the index in a different way and magnitude. Interestingly, our results suggest that the predictability of the price-index series increases during the periods of crises.

Suggested Citation

  • Vamvakaris, Michail D. & Pantelous, Athanasios A. & Zuev, Konstantin M., 2018. "Time series analysis of S&P 500 index: A horizontal visibility graph approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 497(C), pages 41-51.
    • Handle: RePEc:eee:phsmap:v:497:y:2018:i:c:p:41-51
    DOI: 10.1016/j.physa.2018.01.010
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