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Information flow around stock market collapse
Citation
Bossomaier, T and Barnett, L and Steen, A and Harre, M and D'Alessandro, S and Duncan, R, Information flow around stock market collapse, Accounting and Finance, 58 pp. 45-48. ISSN 0810-5391 (2018) [Refereed Article]
Copyright Statement
© 2018 Accounting and Finance Association of Australia and New Zealand
Abstract
Strong 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.
Item Details
| Item Type: | Refereed Article |
|---|---|
| Keywords: | financial crisis, market transition, stock market |
| Research Division: | Commerce, Management, Tourism and Services |
| Research Group: | Marketing |
| Research Field: | Marketing communications |
| Objective Division: | Economic Framework |
| Objective Group: | Management and productivity |
| Objective Field: | Marketing |
| UTAS Author: | D'Alessandro, S (Professor Steven D'Alessandro) |
| ID Code: | 138268 |
| Year Published: | 2018 |
| Web of Science® Times Cited: | 5 |
| Deposited By: | Marketing |
| Deposited On: | 2020-03-30 |
| Last Modified: | 2020-04-24 |
| Downloads: | 0 |
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