Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7381323 | Physica A: Statistical Mechanics and its Applications | 2014 | 13 Pages |
Abstract
Collective behaviors taking place in financial markets reveal strongly correlated states especially during a crisis period. A natural hypothesis is that trend reversals are also driven by mutual influences between the different stock exchanges. Using a maximum entropy approach, we find coordinated behavior during trend reversals dominated by the pairwise component. In particular, these events are predicted with high significant accuracy by the ensemble's instantaneous state.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Thomas Bury,