IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1309.1871.html
   My bibliography  Save this paper

Statistical inference of co-movements of stocks during a financial crisis

Author

Listed:
  • Takero Ibuki
  • Shunsuke Higano
  • Sei Suzuki
  • Jun-ichi Inoue
  • Anirban Chakraborti

Abstract

In order to figure out and to forecast the emergence phenomena of social systems, we propose several probabilistic models for the analysis of financial markets, especially around a crisis. We first attempt to visualize the collective behaviour of markets during a financial crisis through cross-correlations between typical Japanese daily stocks by making use of multi- dimensional scaling. We find that all the two-dimensional points (stocks) shrink into a single small region when a economic crisis takes place. By using the properties of cross-correlations in financial markets especially during a crisis, we next propose a theoretical framework to predict several time-series simultaneously. Our model system is basically described by a variant of the multi-layered Ising model with random fields as non-stationary time series. Hyper-parameters appearing in the probabilistic model are estimated by means of minimizing the 'cumulative error' in the past market history. The justification and validity of our approaches are numerically examined for several empirical data sets.

Suggested Citation

  • Takero Ibuki & Shunsuke Higano & Sei Suzuki & Jun-ichi Inoue & Anirban Chakraborti, 2013. "Statistical inference of co-movements of stocks during a financial crisis," Papers 1309.1871, arXiv.org.
  • Handle: RePEc:arx:papers:1309.1871
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1309.1871
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Garibaldi,Ubaldo & Scalas,Enrico, 2010. "Finitary Probabilistic Methods in Econophysics," Cambridge Books, Cambridge University Press, number 9780521515597, June.
    2. Aoyama,Hideaki & Fujiwara,Yoshi & Ikeda,Yuichi & Iyetomi,Hiroshi & Souma,Wataru Preface by-Name:Yoshikawa,Hiroshi, 2011. "Econophysics and Companies," Cambridge Books, Cambridge University Press, number 9781107403482, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mitsuaki Murota & Jun-ichi Inoue, 2014. "Large-scale empirical study on pairs trading for all possible pairs of stocks listed on the first section of the Tokyo Stock Exchange," Papers 1412.7269, arXiv.org, revised Mar 2015.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. David Vidal-Tomás & Simone Alfarano, 2020. "An agent-based early warning indicator for financial market instability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 49-87, January.
    2. Alfarano Simone & Milakovic Mishael, 2012. "Identification of Interaction Effects in Survey Expectations: A Cautionary Note," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-23, October.
    3. Bednarek, Ilona & Makowski, Marcin & Piotrowski, Edward W. & Sładkowski, Jan & Syska, Jacek, 2015. "Generalization of the Aoki–Yoshikawa sectoral productivity model based on extreme physical information principle," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 161-172.
    4. Leonardo Bargigli & Andrea Lionetto & Stefano Viaggiu, 2013. "A Statistical Test of Walrasian Equilibrium by Means of Complex Networks Theory," Papers 1307.0817, arXiv.org, revised Sep 2016.
    5. Pasquale Cirillo & Mauro Gallegati & Jürg Hüsler, 2012. "A Pólya Lattice Model To Study Leverage Dynamics And Contagious Financial Fragility," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 15(supp0), pages 1-26.
    6. Masanao Aoki & Hiroshi Yoshikawa, 2012. "Non-self-averaging in macroeconomic models: a criticism of modern micro-founded macroeconomics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 7(1), pages 1-22, May.
    7. Miyazaki, Takeshi & Ishida, Ryo, 2022. "Estimating the elasticity of taxable income: Evidence from top Japanese taxpayers," Japan and the World Economy, Elsevier, vol. 61(C).
    8. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034, Decembrie.
    9. Mundt, Philipp & Alfarano, Simone & Milaković, Mishael, 2020. "Exploiting ergodicity in forecasts of corporate profitability," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
    10. Li-Xin Zhong & Wen-Juan Xu & Ping Huang & Chen-Yang Zhong & Tian Qiu, 2013. "Self-organization and phase transition in financial markets with multiple choices," Papers 1312.0690, arXiv.org, revised Jun 2014.
    11. Cohen, Morrel H. & Eliazar, Iddo I., 2013. "Econophysical visualization of Adam Smith’s invisible hand," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 813-823.
    12. Giulio Bottazzi & Ugo M. Gragnolati & Fabio Vanni, 2017. "Non-linear externalities in firm localization," Regional Studies, Taylor & Francis Journals, vol. 51(8), pages 1138-1150, August.
    13. Nassim Nicholas Taleb & Yaneer Bar-Yam & Pasquale Cirillo, 2020. "On Single Point Forecasts for Fat-Tailed Variables," Papers 2007.16096, arXiv.org.
    14. U. Garibaldi & P. Viarengo, 2012. "Exchangeability and non-self-averaging," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 7(2), pages 181-195, October.
    15. Ignacio González García & Alfonso Mateos Caballero, 2021. "Models of Wealth and Inequality Using Fiscal Microdata: Distribution in Spain from 2015 to 2020," Mathematics, MDPI, vol. 9(4), pages 1-24, February.
    16. Mary Han & Bill McKelvey, 2016. "How to Grow Successful Social Entrepreneurship Firms? Key Ideas from Complexity Theory," Journal of Enterprising Culture (JEC), World Scientific Publishing Co. Pte. Ltd., vol. 24(03), pages 243-280, September.
    17. Atushi Ishikawa & Shouji Fujimoto & Takayuki Mizuno & Tsutomu Watanabe, 2017. "Dependence of the decay rate of firm activities on firm age," Evolutionary and Institutional Economics Review, Springer, vol. 14(2), pages 351-362, December.
    18. Philipp Mundt & Simone Alfarano & Mishael Milakovic, 2016. "Gibrat’s Law Redux: think profitability instead of growth," Industrial and Corporate Change, Oxford University Press and the Associazione ICC, vol. 25(4), pages 549-571.
    19. Leonardo Bargigli & Andrea Lionetto & Stefano Viaggiu, 2013. "A Statistical Equilibrium Representation of Markets as Complex Networks," Working Papers - Economics wp2013_23.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
    20. Ellis Scharfenaker, 2022. "Statistical Equilibrium Methods In Analytical Political Economy," Journal of Economic Surveys, Wiley Blackwell, vol. 36(2), pages 276-309, April.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1309.1871. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.