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Predicting trend reversals using market instantaneous state

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  • Bury, Thomas

Abstract

Collective behaviors 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 behavior during trend reversals dominated by the pairwise component. In particular, these events are predicted with high significant accuracy by the ensemble’s instantaneous state.

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  • Bury, Thomas, 2014. "Predicting trend reversals using market instantaneous state," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 404(C), pages 79-91.
    • Handle: RePEc:eee:phsmap:v:404:y:2014:i:c:p:79-91
    DOI: 10.1016/j.physa.2014.02.044
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    Cited by:

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