Understanding stock market instability via graph auto-encoders
Published in Arxiv, 2022
Recommended citation: Gorduza, Dong, Zohren. (2022). "Understanding stock market instability via graph auto-encoders". 1(1). https://arxiv.org/abs/2212.04974
We propose to use the edge reconstruction accuracy of a graph auto-encoder (GAE) as an indicator for how spatially homogeneous connections between assets are, which, based on financial network literature, we use as a proxy to infer market volatility.
Recommended citation: Gorduza, Dong, Zohren. (2022). “Understanding stock market instability via graph auto-encoders”. 1(1).