Nalazite se na CroRIS probnoj okolini. Ovdje evidentirani podaci neće biti pohranjeni u Informacijskom sustavu znanosti RH. Ako je ovo greška, CroRIS produkcijskoj okolini moguće je pristupi putem poveznice www.croris.hr
izvor podataka: crosbi !

Information Feedback in Temporal Networks as a Predictor of Market Crashes (CROSBI ID 255370)

Prilog u časopisu | izvorni znanstveni rad | međunarodna recenzija

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

Podaci o odgovornosti

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

engleski

Information Feedback in Temporal Networks as a Predictor of Market Crashes

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.

Information feedback ; Financial networks ; Market crashes ; Information theory

nije evidentirano

nije evidentirano

nije evidentirano

nije evidentirano

nije evidentirano

nije evidentirano

Podaci o izdanju

2018

2018.

1-13

objavljeno

1076-2787

10.1155/2018/2834680

Povezanost rada

Fizika, Informacijske i komunikacijske znanosti, Računarstvo

Poveznice
Indeksiranost