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Structural Changes on Warsaw's Stock Exchange: the end of Financial Crisis

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  • Pawe{\l} Fiedor

Abstract

In this paper we analyse the structure of Warsaw's stock market using complex systems methodology together with network science and information theory. We find minimal spanning trees for log returns on Warsaw's stock exchange for yearly times series between 2000 and 2013. For each stock in those trees we calculate its Markov centrality measure to estimate its importance in the network. We also estimate entropy rate for each of those time series using Lempel-Ziv algorithm based estimator to study the predictability of those price changes. The division of the studied stocks into 26 sectors allows us to study the changing structure of the Warsaw's stock market and conclude that the financial crisis sensu stricto has ended on Warsaw's stock market in 2012-13. We also comment on the history and the outlook of the Warsaw's market based on the log returns, their average, variability, entropy and the centrality of a stock in the dependency network.

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Paper provided by arXiv.org in its series Papers with number 1311.4230.

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Date of creation: Nov 2013
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Handle: RePEc:arx:papers:1311.4230

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  1. Mirela Catalina Turkes (Vint), 2010. "The Globalization Of The Banking And Financial Crisis On International Level," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 10(1), pages 349-362.
  2. Krzysztof Kompa & Aleksandra Matuszewska-Janica, 2009. "Efficiency of the Warsaw Stock Exchange: Analysis of Selected Properties," International Advances in Economic Research, Springer, vol. 15(1), pages 59-70, February.
  3. R. Steuer & L. Molgedey & W. Ebeling & M.A. Jiménez-Montaño, 2001. "Entropy and optimal partition for data analysis," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 19(2), pages 265-269, 01.
  4. A. Sienkiewicz & T. Gubiec & R. Kutner & Z. R. Struzik, 2013. "Dynamic structural and topological phase transitions on the Warsaw Stock Exchange: A phenomenological approach," Papers 1301.6506, arXiv.org.
  5. J. Barkley Rosser, 2008. "Econophysics And Economic Complexity," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 11(05), pages 745-760.
  6. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
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