Quantifying instabilities in Financial Markets

Autores
Gonçalves, Bruna Amin; Carpi, Laura; Rosso, Osvaldo Aníbal; Ravetti, Martín G.; Atman, A. P. F.
Año de publicación
2019
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
Financial global crisis has devastating impacts to economies since early XX century and continues to impose increasing collateral damages for governments, enterprises, and society in general. Up to now, all efforts to obtain efficient methods to predict these events have been disappointing. However, the quest for a robust estimator of the degree of the market efficiency, or even, a crisis predictor, is still one of the most studied subjects in the field. We present here an original contribution that combines Information Theory with graph concepts, to study the return rate series of 32 global trade markets. Specifically, we propose a very simple quantifier that shows to be highly correlated with global financial instability periods, being also a good estimator of the market crisis risk and market resilience. We show that this estimator displays striking results when applied to countries that played central roles during the last major global market crisis. The simplicity and effectiveness of our quantifier allow us to anticipate its use in a wide range of disciplines.
Fil: Gonçalves, Bruna Amin. Centro Federal de Educação Tecnológica de Minas Gerais. Programa de Pós Graduação em Modelagem Matemática e Computacional; Brasil
Fil: Carpi, Laura. Universidad Politécnica de Catalunya; España
Fil: Rosso, Osvaldo Aníbal. Universidade Federal de Alagoas; Brasil. Hospital Italiano. Departamento de Informática En Salud.; Argentina. Universidad de Los Andes.; Chile
Fil: Ravetti, Martín G.. Universidade Federal de Minas Gerais; Brasil
Fil: Atman, A. P. F.. Centro Federal de Educação Tecnológica de Minas Gerais. Programa de Pós Graduação em Modelagem Matemática e Computacional; Brasil
Materia
CRISIS
FISHER INFORMATION
INFORMATION THEORY
SHANNON ENTROPY
VISIBILITY GRAPH METHOD
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/110597
Acceder
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network_name_str CONICET Digital (CONICET)
spelling Quantifying instabilities in Financial MarketsGonçalves, Bruna AminCarpi, LauraRosso, Osvaldo AníbalRavetti, Martín G.Atman, A. P. F.CRISISFISHER INFORMATIONINFORMATION THEORYSHANNON ENTROPYVISIBILITY GRAPH METHODhttps://purl.org/becyt/ford/1.3https://purl.org/becyt/ford/1Financial global crisis has devastating impacts to economies since early XX century and continues to impose increasing collateral damages for governments, enterprises, and society in general. Up to now, all efforts to obtain efficient methods to predict these events have been disappointing. However, the quest for a robust estimator of the degree of the market efficiency, or even, a crisis predictor, is still one of the most studied subjects in the field. We present here an original contribution that combines Information Theory with graph concepts, to study the return rate series of 32 global trade markets. Specifically, we propose a very simple quantifier that shows to be highly correlated with global financial instability periods, being also a good estimator of the market crisis risk and market resilience. We show that this estimator displays striking results when applied to countries that played central roles during the last major global market crisis. The simplicity and effectiveness of our quantifier allow us to anticipate its use in a wide range of disciplines.Fil: Gonçalves, Bruna Amin. Centro Federal de Educação Tecnológica de Minas Gerais. Programa de Pós Graduação em Modelagem Matemática e Computacional; BrasilFil: Carpi, Laura. Universidad Politécnica de Catalunya; EspañaFil: Rosso, Osvaldo Aníbal. Universidade Federal de Alagoas; Brasil. Hospital Italiano. Departamento de Informática En Salud.; Argentina. Universidad de Los Andes.; ChileFil: Ravetti, Martín G.. Universidade Federal de Minas Gerais; BrasilFil: Atman, A. P. F.. Centro Federal de Educação Tecnológica de Minas Gerais. Programa de Pós Graduação em Modelagem Matemática e Computacional; BrasilElsevier Science2019-07info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/110597Gonçalves, Bruna Amin; Carpi, Laura; Rosso, Osvaldo Aníbal; Ravetti, Martín G.; Atman, A. P. F.; Quantifying instabilities in Financial Markets; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 525; 7-2019; 606-6150378-4371CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/doi/10.1016/j.physa.2019.03.029info:eu-repo/semantics/altIdentifier/url/https://arxiv.org/abs/1704.05499info:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/abs/pii/S0378437119302560info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-10-22T11:26:29Zoai:ri.conicet.gov.ar:11336/110597instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-10-22 11:26:29.388CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Quantifying instabilities in Financial Markets
title Quantifying instabilities in Financial Markets
spellingShingle Quantifying instabilities in Financial Markets
Gonçalves, Bruna Amin
CRISIS
FISHER INFORMATION
INFORMATION THEORY
SHANNON ENTROPY
VISIBILITY GRAPH METHOD
title_short Quantifying instabilities in Financial Markets
title_full Quantifying instabilities in Financial Markets
title_fullStr Quantifying instabilities in Financial Markets
title_full_unstemmed Quantifying instabilities in Financial Markets
title_sort Quantifying instabilities in Financial Markets
dc.creator.none.fl_str_mv Gonçalves, Bruna Amin
Carpi, Laura
Rosso, Osvaldo Aníbal
Ravetti, Martín G.
Atman, A. P. F.
author Gonçalves, Bruna Amin
author_facet Gonçalves, Bruna Amin
Carpi, Laura
Rosso, Osvaldo Aníbal
Ravetti, Martín G.
Atman, A. P. F.
author_role author
author2 Carpi, Laura
Rosso, Osvaldo Aníbal
Ravetti, Martín G.
Atman, A. P. F.
author2_role author
author
author
author
dc.subject.none.fl_str_mv CRISIS
FISHER INFORMATION
INFORMATION THEORY
SHANNON ENTROPY
VISIBILITY GRAPH METHOD
topic CRISIS
FISHER INFORMATION
INFORMATION THEORY
SHANNON ENTROPY
VISIBILITY GRAPH METHOD
purl_subject.fl_str_mv https://purl.org/becyt/ford/1.3
https://purl.org/becyt/ford/1
dc.description.none.fl_txt_mv Financial global crisis has devastating impacts to economies since early XX century and continues to impose increasing collateral damages for governments, enterprises, and society in general. Up to now, all efforts to obtain efficient methods to predict these events have been disappointing. However, the quest for a robust estimator of the degree of the market efficiency, or even, a crisis predictor, is still one of the most studied subjects in the field. We present here an original contribution that combines Information Theory with graph concepts, to study the return rate series of 32 global trade markets. Specifically, we propose a very simple quantifier that shows to be highly correlated with global financial instability periods, being also a good estimator of the market crisis risk and market resilience. We show that this estimator displays striking results when applied to countries that played central roles during the last major global market crisis. The simplicity and effectiveness of our quantifier allow us to anticipate its use in a wide range of disciplines.
Fil: Gonçalves, Bruna Amin. Centro Federal de Educação Tecnológica de Minas Gerais. Programa de Pós Graduação em Modelagem Matemática e Computacional; Brasil
Fil: Carpi, Laura. Universidad Politécnica de Catalunya; España
Fil: Rosso, Osvaldo Aníbal. Universidade Federal de Alagoas; Brasil. Hospital Italiano. Departamento de Informática En Salud.; Argentina. Universidad de Los Andes.; Chile
Fil: Ravetti, Martín G.. Universidade Federal de Minas Gerais; Brasil
Fil: Atman, A. P. F.. Centro Federal de Educação Tecnológica de Minas Gerais. Programa de Pós Graduação em Modelagem Matemática e Computacional; Brasil
description Financial global crisis has devastating impacts to economies since early XX century and continues to impose increasing collateral damages for governments, enterprises, and society in general. Up to now, all efforts to obtain efficient methods to predict these events have been disappointing. However, the quest for a robust estimator of the degree of the market efficiency, or even, a crisis predictor, is still one of the most studied subjects in the field. We present here an original contribution that combines Information Theory with graph concepts, to study the return rate series of 32 global trade markets. Specifically, we propose a very simple quantifier that shows to be highly correlated with global financial instability periods, being also a good estimator of the market crisis risk and market resilience. We show that this estimator displays striking results when applied to countries that played central roles during the last major global market crisis. The simplicity and effectiveness of our quantifier allow us to anticipate its use in a wide range of disciplines.
publishDate 2019
dc.date.none.fl_str_mv 2019-07
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/110597
Gonçalves, Bruna Amin; Carpi, Laura; Rosso, Osvaldo Aníbal; Ravetti, Martín G.; Atman, A. P. F.; Quantifying instabilities in Financial Markets; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 525; 7-2019; 606-615
0378-4371
CONICET Digital
CONICET
url http://hdl.handle.net/11336/110597
identifier_str_mv Gonçalves, Bruna Amin; Carpi, Laura; Rosso, Osvaldo Aníbal; Ravetti, Martín G.; Atman, A. P. F.; Quantifying instabilities in Financial Markets; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 525; 7-2019; 606-615
0378-4371
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/doi/10.1016/j.physa.2019.03.029
info:eu-repo/semantics/altIdentifier/url/https://arxiv.org/abs/1704.05499
info:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/abs/pii/S0378437119302560
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
application/pdf
dc.publisher.none.fl_str_mv Elsevier Science
publisher.none.fl_str_mv Elsevier Science
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
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score 12.982451

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