Napredna pretraga

Pregled bibliografske jedinice broj: 960650

Information Feedback in Temporal Networks as a Predictor of Market Crashes


Begušić, Stjepan; Kostanjčar, Zvonko; Kovač, Dejan; Stanley, H. Eugene; Podobnik, Boris
Information Feedback in Temporal Networks as a Predictor of Market Crashes // Complexity, 2018 (2018), 1-13 doi:10.1155/2018/2834680 (međunarodna recenzija, članak, znanstveni)


Naslov
Information Feedback in Temporal Networks as a Predictor of Market Crashes

Autori
Begušić, Stjepan ; Kostanjčar, Zvonko ; Kovač, Dejan ; Stanley, H. Eugene ; Podobnik, Boris

Izvornik
Complexity (1076-2787) 2018 (2018); 1-13

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Information feedback ; Financial networks ; Market crashes ; Information theory

Sažetak
In complex systems, statistical dependencies between individual components are often considered one of the key mechanisms which drive the system dynamics observed on a macroscopic level. In this paper, we study cross-sectional time-lagged dependencies in financial markets, quantified by nonparametric measures from information theory, and estimate directed temporal dependency networks in financial markets. We examine the emergence of strongly connected feedback components in the estimated networks, and hypothesize that the existence of information feedback in financial networks induces strong spatiotemporal spillover effects and thus indicates systemic risk. We obtain empirical results by applying our methodology on stock market and real estate data, and demonstrate that the estimated networks exhibit strongly connected components around periods of high volatility in the markets. To further study this phenomenon, we construct a systemic risk indicator based on the proposed approach, and show that it can be used to predict future market distress. Results from both the stock market and real estate data suggest that our approach can be useful in obtaining early- warning signals for crashes in financial markets.

Izvorni jezik
Engleski

Znanstvena područja
Fizika, Računarstvo, 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,
Građevinski fakultet, Rijeka,
Zagrebačka škola ekonomije i managementa, Zagreb

Časopis indeksira:


  • Web of Science Core Collection (WoSCC)
    • Science Citation Index Expanded (SCI-EXP)
  • Scopus


Citati