英文标题：
《Emerging interdependence between stock values during financial crashes》
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作者：
Jacopo Rocchi, Enoch Yan Lok Tsui, David Saad
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最新提交年份：
2016
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英文摘要：
  To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures to extract direct influences between multiple time series, we compute the information flow across stock values to identify several different regimes. While small information flows is detected in most of the period, a dramatically different situation occurs in the proximity of global financial crises, where stock values exhibit strong and substantial interdependence for a prolonged period. This behavior is consistent with what one would generally expect from a complex system near criticality in physical systems, showing the long lasting effects of crashes on stock markets.
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中文摘要：
为了确定交易股票之间正在出现的相互依赖关系，我们通过查看每日股票价值，调查了2000-2015年间富时100指数公司的股票行为。利用信息理论度量的力量提取多个时间序列之间的直接影响，我们计算股票价值的信息流，以确定几个不同的状态。虽然在这一时期的大部分时间里都能检测到少量的信息流，但在全球金融危机临近的地区，情况却截然不同，股票价值在很长一段时间内表现出强烈而实质性的相互依赖性。这种行为与人们通常对物理系统中接近临界状态的复杂系统的期望是一致的，这表明崩溃对股市的长期影响。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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