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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

DOI: doi:10.1111/acfi.12390

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:6
Deposited By:Marketing
Deposited On:2020-03-30
Last Modified:2020-04-24
Downloads:0

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