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Information flow around stock market collapse

Bossomaier, T, Barnett, L, Steen, A, Harre, M, D'Alessandro, S ORCID: 0000-0001-7480-232X and Duncan, R 2018 , 'Information flow around stock market collapse' , Accounting and Finance, vol. 58 , pp. 45-48 , doi: 10.1111/acfi.12390.

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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 Type: Article
Authors/Creators:Bossomaier, T and Barnett, L and Steen, A and Harre, M and D'Alessandro, S and Duncan, R
Keywords: financial crisis, market transition, stock market
Journal or Publication Title: Accounting and Finance
Publisher: Wiley-Blackwell Publishing Asia
ISSN: 0810-5391
DOI / ID Number: 10.1111/acfi.12390
Copyright Information:

© 2018 Accounting and Finance Association of Australia and New Zealand

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