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Predictive Power of Complexity Theory in Financial Markets


Begušić, Stjepan; Kostanjčar, Zvonko; Podobnik, Boris
Predictive Power of Complexity Theory in Financial Markets // 1st International Scientific Conference on Economics in a Changing World, Umag, Croatia, 2017.
Umag, Hrvatska, 2017. str. 1-1 (predavanje, međunarodna recenzija, sažetak, znanstveni)


Naslov
Predictive Power of Complexity Theory in Financial Markets

Autori
Begušić, Stjepan ; Kostanjčar, Zvonko ; Podobnik, Boris

Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, sažetak, znanstveni

Izvornik
1st International Scientific Conference on Economics in a Changing World, Umag, Croatia, 2017. / - , 2017, 1-1

Skup
1st International Scientific Conference on Economics in a Changing World

Mjesto i datum
Umag, Hrvatska, 27-28.08.2017

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
Time series ; Systemic risk ; Financial networks

Sažetak
A method for estimating directed causality networks of financial assets is introduced, based on the information- theoretic notion of conditional entropy. From the estimated networks, the amount of feedback is measured by identifying strongly connected components within the network. The proposed methodology is applied to the U.S. equities market and a systemic risk indicator is developed. The results suggest that the feedback in causality networks can be used to measure and indicate severe systemic inefficiencies in the market.

Izvorni jezik
Engleski

Znanstvena područja
Računarstvo, Ekonomija, Informacijske i komunikacijske znanosti



POVEZANOST RADA


Projekt / tema
HRZZ-UIP-2014-09-5349 - Algoritmi za mjerenje sustavskog rizika (Zvonko Kostanjčar, )

Ustanove
Fakultet elektrotehnike i računarstva, Zagreb,
Zagrebačka škola ekonomije i managementa, Zagreb