Predicting trend reversals using market instantaneous state
Statistical Finance
2015-06-17 v5 Statistical Mechanics
Abstract
Collective behaviours taking place in financial markets reveal strongly correlated states especially during a crisis period. A natural hypothesis is that trend reversals are also driven by mutual influences between the different stock exchanges. Using a maximum entropy approach, we find coordinated behaviour during trend reversals dominated by the pairwise component. In particular, these events are predicted with high significant accuracy by the ensemble's instantaneous state.
Keywords
Cite
@article{arxiv.1310.8169,
title = {Predicting trend reversals using market instantaneous state},
author = {Thomas Bury},
journal= {arXiv preprint arXiv:1310.8169},
year = {2015}
}
Comments
18 pages, 15 figures