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- W2556065584 abstract "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." @default.
- W2556065584 created "2016-11-30" @default.
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- W2556065584 date "2017-05-25" @default.
- W2556065584 modified "2023-10-16" @default.
- W2556065584 title "Emerging interdependence between stock values during financial crashes" @default.
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- W2556065584 doi "https://doi.org/10.1371/journal.pone.0176764" @default.
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