AndersenNowakRotundoEtAl2011

Référence

Andersen, J.V., Nowak, A., Rotundo, G., Parrott, L. and Martinez, S. (2011) "Price-quakes" shaking the world's stock exchanges. PLoS ONE, 6(11):e26472. (Scopus )

Résumé

Background: Systemic risk has received much more awareness after the excessive risk taking by major financial instituations pushed the world's financial system into what many considered a state of near systemic failure in 2008. The IMF for example in its yearly 2009 Global Financial Stability Report acknowledged the lack of proper tools and research on the topic. Understanding how disruptions can propagate across financial markets is therefore of utmost importance. Methodology/Principal Findings: Here, we use empirical data to show that the world's markets have a non-linear threshold response to events, consistent with the hypothesis that traders exhibit change blindness. Change blindness is the tendency of humans to ignore small changes and to react disproportionately to large events. As we show, this may be responsible for generating cascading events-pricequakes-in the world's markets. We propose a network model of the world's stock exchanges that predicts how an individual stock exchange should be priced in terms of the performance of the global market of exchanges, but with change blindness included in the pricing. The model has a direct correspondence to models of earth tectonic plate movements developed in physics to describe the slip-stick movement of blocks linked via spring forces. Conclusions/Significance: We have shown how the price dynamics of the world's stock exchanges follows a dynamics of build-up and release of stress, similar to earthquakes. The nonlinear response allows us to classify price movements of a given stock index as either being generated internally, due to specific economic news for the country in question, or externally, by the ensemble of the world's stock exchanges reacting together like a complex system. The model may provide new insight into the origins and thereby also prevent systemic risks in the global financial network. © 2011 Andersen et al.

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@ARTICLE { AndersenNowakRotundoEtAl2011,
    AUTHOR = { Andersen, J.V. and Nowak, A. and Rotundo, G. and Parrott, L. and Martinez, S. },
    TITLE = { "Price-quakes" shaking the world's stock exchanges },
    JOURNAL = { PLoS ONE },
    YEAR = { 2011 },
    VOLUME = { 6 },
    PAGES = { e26472 },
    NUMBER = { 11 },
    ABSTRACT = { Background: Systemic risk has received much more awareness after the excessive risk taking by major financial instituations pushed the world's financial system into what many considered a state of near systemic failure in 2008. The IMF for example in its yearly 2009 Global Financial Stability Report acknowledged the lack of proper tools and research on the topic. Understanding how disruptions can propagate across financial markets is therefore of utmost importance. Methodology/Principal Findings: Here, we use empirical data to show that the world's markets have a non-linear threshold response to events, consistent with the hypothesis that traders exhibit change blindness. Change blindness is the tendency of humans to ignore small changes and to react disproportionately to large events. As we show, this may be responsible for generating cascading events-pricequakes-in the world's markets. We propose a network model of the world's stock exchanges that predicts how an individual stock exchange should be priced in terms of the performance of the global market of exchanges, but with change blindness included in the pricing. The model has a direct correspondence to models of earth tectonic plate movements developed in physics to describe the slip-stick movement of blocks linked via spring forces. Conclusions/Significance: We have shown how the price dynamics of the world's stock exchanges follows a dynamics of build-up and release of stress, similar to earthquakes. The nonlinear response allows us to classify price movements of a given stock index as either being generated internally, due to specific economic news for the country in question, or externally, by the ensemble of the world's stock exchanges reacting together like a complex system. The model may provide new insight into the origins and thereby also prevent systemic risks in the global financial network. © 2011 Andersen et al. },
    COMMENT = { Export Date: 2 April 2012 Source: Scopus Art. No.: e26472 doi: 10.1371/journal.pone.0026472 },
    ISSN = { 19326203 (ISSN) },
    KEYWORDS = { article, dynamics, earthquake, financial management, hypothesis, information processing, mathematical analysis, mathematical model, probability, social marketing, social network, socioeconomics },
    OWNER = { Luc },
    TIMESTAMP = { 2012.04.02 },
    URL = { http://www.scopus.com/inward/record.url?eid=2-s2.0-80355136409&partnerID=40&md5=c990483f37cbaa51dcdaa623bff5454d },
}

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