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金融市场间熵协同运动的建模

Modeling the Comovement of Entropy between Financial Markets.

作者信息

Caraiani Petre

机构信息

Institute for Economic Forecasting, Romanian Academy, 050711 Bucharest, Romania.

出版信息

Entropy (Basel). 2018 May 30;20(6):417. doi: 10.3390/e20060417.

DOI:10.3390/e20060417
PMID:33265507
原文链接:https://pmc.ncbi.nlm.nih.gov/articles/PMC7512935/
Abstract

In this paper, I propose a methodology to study the comovement between the entropy of different financial markets. The entropy is derived using singular value decomposition of the components of stock market indices in financial markets from selected developed economies, i.e., France, Germany, the United Kingdom, and the United States. I study how a shock in the entropy in the United States affects the entropy in the other financial markets. I also model the entropy using a dynamic factor model and derive a common factor behind the entropy movements in these four markets.

摘要

在本文中，我提出了一种方法来研究不同金融市场熵之间的共同变动。熵是通过对选定发达经济体（即法国、德国、英国和美国）金融市场股票市场指数成分进行奇异值分解得出的。我研究美国熵的一个冲击如何影响其他金融市场的熵。我还使用动态因子模型对熵进行建模，并推导这四个市场熵变动背后的一个共同因子。

https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b33f/7512935/5ecc9b7fa67c/entropy-20-00417-g002.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b33f/7512935/d4d4458d0f67/entropy-20-00417-g0A1.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b33f/7512935/aa5f8fea07f4/entropy-20-00417-g0A2.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b33f/7512935/c4830c3864d0/entropy-20-00417-g0A3.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b33f/7512935/a5ff63eb0b46/entropy-20-00417-g0A4.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b33f/7512935/bc9772427939/entropy-20-00417-g001.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b33f/7512935/5ecc9b7fa67c/entropy-20-00417-g002.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b33f/7512935/d4d4458d0f67/entropy-20-00417-g0A1.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b33f/7512935/aa5f8fea07f4/entropy-20-00417-g0A2.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b33f/7512935/c4830c3864d0/entropy-20-00417-g0A3.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b33f/7512935/a5ff63eb0b46/entropy-20-00417-g0A4.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b33f/7512935/bc9772427939/entropy-20-00417-g001.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b33f/7512935/5ecc9b7fa67c/entropy-20-00417-g002.jpg

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Systemic Risk Analysis on Reconstructed Economic and Financial Networks.重构经济与金融网络的系统性风险分析
Sci Rep. 2015 Oct 28;5:15758. doi: 10.1038/srep15758.
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Index cohesive force analysis reveals that the US market became prone to systemic collapses since 2002.指数黏合力度分析表明，自 2002 年以来，美国市场变得容易发生系统性崩溃。
PLoS One. 2011 Apr 27;6(4):e19378. doi: 10.1371/journal.pone.0019378.
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Entropy (Basel). 2019 Mar 23;21(3):316. doi: 10.3390/e21030316.
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Entropy (Basel). 2018 Oct 19;20(10):805. doi: 10.3390/e20100805.
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