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- W2743196251 abstract "Networks derived from stock prices are often used to model developments on financial markets and are tightly intertwined with crises. Yet, the influence of changing market topologies on the broader economy (i.e. GDP) is unclear. In this paper, we propose a Bayesian approach that utilizes individual-level network measures of companies as lagged probabilistic features to predict national economic growth. We use a comprehensive data set consisting of Standard and Poor’s 500 corporations from January 1988 until October 2016. The final model forecasts correctly all major recession and prosperity phases of the U.S. economy up to one year ahead. By employing different network measures on the level of corporations, we can also identify which companies’ stocks possess a key role in a changing economic environment and may be used as indication of critical (and prosperous) developments. More generally, the proposed approach allows to predict probabilities for different overall states of social entities by using local network positions and could be applied on various phenomena." @default.
- W2743196251 created "2017-08-17" @default.
- W2743196251 creator A5045935650 @default.
- W2743196251 date "2018-01-01" @default.
- W2743196251 modified "2023-10-02" @default.
- W2743196251 title "Predicting economic growth with stock networks" @default.
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- W2743196251 doi "https://doi.org/10.1016/j.physa.2017.07.022" @default.
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