Pregled bibliografske jedinice broj: 895627
Predictive Power of Complexity Theory in Financial Markets
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)
CROSBI ID: 895627 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
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, 27.08.2017. - 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
Projekti:
HRZZ-UIP-2014-09-5349 - Algoritmi za mjerenje sustavskog rizika (ASYRMEA) (Kostanjčar, Zvonko, HRZZ ) ( CroRIS)
Ustanove:
Fakultet elektrotehnike i računarstva, Zagreb,
Zagrebačka škola ekonomije i managementa, Zagreb
