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Information flow around stock market collapse
journal contribution
posted on 2023-05-20, 12:13 authored by Bossomaier, T, Barnett, L, Steen, A, Harre, M, Steven D'Alessandro, Duncan, RStrong correlations among share prices appear during a market transitions. Numerous measures have been proposed to predict crash events, but they all show a trend which peaks at the transition itself. Information flow among share prices peaks before a transition, whereas correlation‐based indices peak at the transition itself. The classic spin model used in physics describes one type of tipping point where there is a peak in information flow located away from the transition point itself and is thus predictive. Information theoretic metrics of this kind have not been applied to prediction in real‐world systems, such as stock markets.
History
Publication title
Accounting and FinanceVolume
58Pagination
45-48ISSN
0810-5391Department/School
TSBEPublisher
Wiley-Blackwell Publishing AsiaPlace of publication
AustraliaRights statement
© 2018 Accounting and Finance Association of Australia and New ZealandRepository Status
- Restricted