Open AccessTraders Network before Market Crashes
Author(s) -
Rossitsa Yalamova
Publication year - 2022
Publication title -
international journal of economics and statistics
Language(s) - English
Resource type - Journals
ISSN - 2309-0685
DOI - 10.46300/9103.2022.10.2
Subject(s) - herding , econometrics , herd behavior , multifractal system , stock market , stock (firearms) , decoupling (probability) , computer science , economics , financial economics , mathematics , fractal , geography , engineering , mathematical analysis , context (archaeology) , archaeology , control engineering , forestry
The goal is to reveal scale-dependent topology of the network structure of stock market participants. The correlation structure of stock price series reveals the correlation network between traders. The partition decoupling method reveals the topological structure. The relation of the structural organization to dynamical complexity involves synchronization of trading that may lead to crashes. Log-periodic oscillations of index prices as precursory patterns of crashes are hypothesized to appear as a result of information cascade and herding among traders.