Modelling economic stress through financial systemic balance index
| Autor: | Alicia Carrion Garcia, Danilo P. Mandic, Ramon Miralles Ricos, Apit Hemakom, Giuseppe G. Calvi, Theerasak Chanwimalueang |
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| Rok vydání: | 2016 |
| Předmět: |
Finance
Index (economics) 010504 meteorology & atmospheric sciences business.industry media_common.quotation_subject Financial market 020206 networking & telecommunications 02 engineering and technology Variance (accounting) 01 natural sciences Determinism Recession Efficient-market hypothesis Balance (accounting) 0202 electrical engineering electronic engineering information engineering Financial stress Economics business health care economics and organizations 0105 earth and related environmental sciences media_common |
| Zdroj: | DSP |
| DOI: | 10.1109/icdsp.2016.7868621 |
| Popis: | Financial markets undergo cycles oscillating between periods of economic growth followed by periods of recession. This is similar to the principle of sympathovagal balance in humans representing the leverages between two interactive nervous systems: the sympathetic nervous system (SNS) and the parasympathetic nervous system (PNS). Based on the Efficient Market Hypothesis (EMH), we conjecture that there could exist two major groups of people who invest in financial markets: 1. Those who drive financial prices to a state of abnormality, and 2. Those who try to sustain the financial prices. To support this conjecture, we introduce the financial systemic balance index (FSBI) which is used to quantify the evolution of financial stress levels in the market. Results show that periods of higher stress detected by the proposed FSBI index correspond to those with higher levels of determinism and nonlinearity, evaluated via the Delay Vector Variance (DVV) method. |
| Databáze: | OpenAIRE |
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