English

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

R2 v1 2026-06-22T01:57:28.403Z