Emerging interdependence between stock values during financial crashes
File(s)
Published version
Author(s)
Rocchi, Jacopo
Tsui, Enoch Yan Lok
Saad, David
Type
Journal Article
Abstract
To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures to extract direct influences between multiple time series, we compute the information flow across stock values to identify several different regimes. While small information flows is detected in most of the period, a dramatically different situation occurs in the proximity of global financial crises, where stock values exhibit strong and substantial interdependence for a prolonged period. This behavior is consistent with what one would generally expect from a complex system near criticality in physical systems, showing the long lasting effects of crashes on stock markets.
Date Issued
2017-05-25
Date Acceptance
2017-04-17
Citation
PLoS One, 2017, 12 (5), pp.1-15
ISSN
1932-6203
Publisher
Public Library of Science (PLoS)
Start Page
1
End Page
15
Journal / Book Title
PLoS One
Volume
12
Issue
5
Copyright Statement
© 2017 Rocchi et al. This is an open access article distributed under the terms of the Creative Commons Attribution License http://creativecommons.org/licenses/by/4.0/, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
License URL
Identifier
https://journals.plos.org/plosone/article?id=10.1371/journal.pone.0176764
Subjects
General Science & Technology
Publication Status
Published
Date Publish Online
2017-05-25