| Title: |
Information flow around stock market collapse |
| Authors: |
Bossomaier, Terry; Barnett, Lionel; Steen, Adam; Harré, Mike; d'Alessandro, Steve; Duncan, Rod |
| Source: |
Accounting & Finance ; volume 58, issue S1, page 45-58 ; ISSN 0810-5391 1467-629X |
| Publisher Information: |
Wiley |
| Publication Year: |
2018 |
| Collection: |
Wiley Online Library (Open Access Articles via Crossref) |
| Description: |
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. |
| Document Type: |
article in journal/newspaper |
| Language: |
English |
| DOI: |
10.1111/acfi.12390 |
| Availability: |
https://doi.org/10.1111/acfi.12390; https://api.wiley.com/onlinelibrary/tdm/v1/articles/10.1111%2Facfi.12390; https://onlinelibrary.wiley.com/doi/pdf/10.1111/acfi.12390 |
| Rights: |
http://onlinelibrary.wiley.com/termsAndConditions#vor |
| Accession Number: |
edsbas.DE60642C |
| Database: |
BASE |