Author(s)

Ying Li, Donghui Yang, Xiaobin Li

Business School, Sun Yat-sen University, Guangzhou, China.

In this study, a modeling method to analyze multidimensional time series based on complex networks is proposed. The rate of return sequence of the closing price and the trading volume fluctuation sequence of the Shanghai Composite Index, the Shenzhen Component Index, the S & P 500 index, and the Dow Jones Industrial Average are analyzed. The two-dimensional time series is transformed into a complex network. We analyze the spatial distribution characteristics of the network to determine the relationship between volume and price. It is found that the interaction of stock return and volume in China’ stock market is more obvious than that in the American market.

Complex Networks, Time Series, Price-Volume Correlations, Multidimensional

Li, Y. , Yang, D. and Li, X. (2017) Multidimensional Time Series Analysis of Financial Markets Based on the Complex Network Approach. Journal of Mathematical Finance, 7, 734-750. doi: 10.4236/jmf.2017.73039.