Time series analysis of the developed financial markets' integration using visibility graphs

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

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Original languageEnglish
Pages (from-to)483-495
Journal / PublicationPhysica A: Statistical Mechanics and its Applications
Online published23 May 2014
Publication statusPublished - 15 Sept 2014


A time series representing the developed financial markets' segmentation from 1973 to 2012 is studied. The time series reveals an obvious market integration trend. To further uncover the features of this time series, we divide it into seven windows and generate seven visibility graphs. The measuring capabilities of the visibility graphs provide means to quantitatively analyze the original time series. It is found that the important historical incidents that influenced market integration coincide with variations in the measured graphical node degree. Through the measure of neighborhood span, the frequencies of the historical incidents are disclosed. Moreover, it is also found that large "cycles" and significant noise in the time series are linked to large and small communities in the generated visibility graphs. For large cycles, how historical incidents significantly affected market integration is distinguished by density and compactness of the corresponding communities. © 2014 Elsevier B.V. All rights reserved.

Research Area(s)

  • Complex networks, Market integration, Market segmentation, Time series, Visibility graphs