Information flow around stock market collapse
Information flow around stock market collapse
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DOI：
10.1111/acfi.12390
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发表时间：
2018-11-01
影响因子：
2.6
通讯作者：
Duncan, Rod
中科院分区：
文献类型：
--
作者：
Bossomaier, Terry;Barnett, Lionel;Duncan, Rod
股票价格之间的强相关性出现在市场转型期间。已经提出了许多措施来预测碰撞事件，但它们都显示出一种趋势，即在过渡本身达到峰值。股价之间的信息流在过渡之前达到峰值，而基于相关性的指数在过渡本身达到峰值。物理学中使用的经典自旋模型描述了一种类型的临界点，其中信息流的峰值位于远离转变点本身的位置，因此具有预测性。这种信息理论度量尚未应用于现实世界系统（如股票市场）的预测。
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.