ArticleNature communications2020
A behavioral approach to instability pathways in financial markets.
Article in Nature communications, 2020. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 8 papers.
What it found
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Trials whose registry record cites this paper, or whose number appears in the abstract. A trial that started after this paper was published is citing it as background, not reporting it.
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Who cites it
8 citing papers in PubMed.
- Energy commodities spillover analysis for assessing the functioning of the European Union Emissions Trading System trade network of carbon allowances.Scientific reports · 2024Article
- Study on the Stability of Complex Networks in the Stock Markets of Key Industries in China.Entropy (Basel, Switzerland) · 2024Article
- The contagion effect of heterogeneous investor groups.PloS one · 2023Article
- Wasserstein barycenter regression for estimating the joint dynamics of renewable and fossil fuel energy indices.Computational management science · 2023Article
- High-frequency trading and networked markets.Proceedings of the National Academy of Sciences of the United States of America · 2021Article
- Loss of structural balance in stock markets.Scientific reports · 2021Article
- The impact of the SARS-CoV-2 pandemic on financial markets: a seismologic approach.Annals of operations research · 2021Article
- Market instability and the size-variance relationship.Scientific reports · 2021Article
Corrections and comments
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Authors and funding
5 authors.
Funding
No grant is acknowledged in the PubMed record.
Abstract
We introduce an indicator that aims to detect the emergence of market instabilities by quantifying the intensity of self-organizing processes arising from stock returns' co-movements. In financial markets, phenomena like imitation, herding and positive feedbacks characterize the emergence of endogenous instabilities, which can modify the qualitative and quantitative behavior of the underlying system. The impossibility to formalize ex-ante the dynamic laws that rule the evolution of financial systems motivates the use of a parsimonious synthetic indicator to detect the disruption of an existing equilibrium configuration. Here we show that the emergence of an interconnected sub-graph of stock returns co-movements from a broader market index is a signal of an out-of-equilibrium transition of the underlying system. To test the validity of our approach, we propose a model-free application that builds on the identification of up and down market phases.
Identifiers
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Registered trials
Read under generation 80e0d062 · epoch 390. Bibliography from PubMed, PubMed Central and OpenAlex; grants from NIH RePORTER; trial links from ClinicalTrials.gov; estimates, votes and beliefs from the OpenQuestion graph.