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Modelling economic stress through financial systemic balance index

Authors: Alicia Carrion Garcia 0001; Theerasak Chanwimalueang; Giuseppe Giovanni Calvi; Apit Hemakom; Ramón Miralles Ricós; Danilo P. Mandic;

Modelling economic stress through financial systemic balance index

Abstract

Financial markets undergo cycles oscillating between periods of economic growth followed by periods of recession. This is similar to the principle of sympathovagal balance in humans representing the leverages between two interactive nervous systems: the sympathetic nervous system (SNS) and the parasympathetic nervous system (PNS). Based on the Efficient Market Hypothesis (EMH), we conjecture that there could exist two major groups of people who invest in financial markets: 1. Those who drive financial prices to a state of abnormality, and 2. Those who try to sustain the financial prices. To support this conjecture, we introduce the financial systemic balance index (FSBI) which is used to quantify the evolution of financial stress levels in the market. Results show that periods of higher stress detected by the proposed FSBI index correspond to those with higher levels of determinism and nonlinearity, evaluated via the Delay Vector Variance (DVV) method.

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
1
Average
Average
Average
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