Evolutionary systemic risk: Fisher information flow metric in financial network dynamics
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- 作者：Khaldoun Khashanah ; Hanchao Yang ; hyang3@stevens.edu" class="auth_mail" title="E-mail the corresponding author
- 关键词：Systemic risk ; Financial network dynamics ; Information flow networks analysis ; Minimum spanning tree ; Fisher information metric ; Evolution Index
- 刊名：Physica A: Statistical Mechanics and its Applications
- 出版年：2016
- 出版时间：1 March 2016
- 年：2016
- 卷：445
- 期：Complete
- 页码：318-327
- 全文大小：3790 K
文摘
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Apply Fisher information metric to construct financial networks.
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Introduce the evolution index (EI) as a quantitative measure of network evolution.
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Empirically, systemic risk of stock market is high when EI runs below its long-term average.
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The change of EI Granger causes the change of stock price.