Foreign exchange rate entropy evolution during financial crises
| Autor: | Dusan Stosic, Darko Stosic, Teresa B. Ludermir, Tatijana Stosic, Wilson Rosa de Oliveira |
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| Rok vydání: | 2016 |
| Předmět: |
Statistics and Probability
Finance Economic uncertainty business.industry Market dynamics Condensed Matter Physics 01 natural sciences 010305 fluids & plasmas Market liquidity Block entropy Exchange rate 0103 physical sciences Financial crisis Economics Entropy (information theory) Foreign exchange 010306 general physics business |
| Zdroj: | Physica A: Statistical Mechanics and its Applications. 449:233-239 |
| ISSN: | 0378-4371 |
| DOI: | 10.1016/j.physa.2015.12.124 |
| Popis: | This paper examines the effects of financial crises on foreign exchange (FX) markets, where entropy evolution is measured for different exchange rates, using the time-dependent block entropy method. Empirical results suggest that financial crises are associated with significant increase of exchange rate entropy, reflecting instability in FX market dynamics. In accordance with phenomenological expectations, it is found that FX markets with large liquidity and large trading volume are more inert — they recover quicker from a crisis than markets with small liquidity and small trading volume. Moreover, our numerical analysis shows that periods of economic uncertainty are preceded by periods of low entropy values, which may serve as a tool for anticipating the onset of financial crises. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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