Crash Diagnosis and Price Rebound Prediction in NYSE Composite Index Based on Visibility Graph and Time-Evolving Stock Correlation Network
This study proposes a framework to diagnose stock market crashes and predict the subsequent price rebounds. Based on the observation of anomalous changes in stock correlation networks during market crashes, we extend the log-periodic power-law model with a metric that is proposed to measure network...
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| Autori principali: | , , |
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| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
MDPI AG
2021-11-01
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| Serie: | Entropy |
| Soggetti: | |
| Accesso online: | https://www.mdpi.com/1099-4300/23/12/1612 |
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