Applying Graph Theory to Algorithmic Trading | Time Series Visibility Graphs

Showing off visibility graphs for an algorithmic trading application. We compute visibility graphs of the price in a rolling window then compute network science metrics on the resulting graph to get an interesting indicator.



Code: github.com/neurotrader888/TimeSeriesVisibilityGrap…


Links
en.wikipedia.org/wiki/Visibility_graph
en.wikipedia.org/wiki/Network_science
networkx.org/
github.com/CarlosBergillos/ts2vg

Paper for efficient time series to visibility graph conversion
Xin Lan, Hongming Mo, Shiyu Chen, Qi Liu, Yong Deng; Fast transformation from time series to visibility graphs. Chaos 1 August 2015; 25 (8): 083105.


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