TY - JOUR
T1 - Evolutionary systemic risk
T2 - Fisher information flow metric in financial network dynamics
AU - Khashanah, Khaldoun
AU - Yang, Hanchao
N1 - Publisher Copyright:
© 2015 Elsevier B.V.
PY - 2016/3/1
Y1 - 2016/3/1
N2 - Recently the topic of financial network dynamics has gained renewed interest from researchers in the field of empirical systemic risk measurements. We refer to this type of network analysis as information flow networks analysis (IFNA). This paper proposes a new method that applies Fisher information metric to the evolutionary dynamics of financial networks using IFNA. Our paper is the first to apply the Fisher information metric to a set of financial time series. We introduce Evolution Index (EI) as a measure of systemic risk in financial networks. It is shown, for concrete networks with actual data of several stock markets, that the EI can be implemented as a measure of fitness of the stock market and as a leading indicator of systemic risk.
AB - Recently the topic of financial network dynamics has gained renewed interest from researchers in the field of empirical systemic risk measurements. We refer to this type of network analysis as information flow networks analysis (IFNA). This paper proposes a new method that applies Fisher information metric to the evolutionary dynamics of financial networks using IFNA. Our paper is the first to apply the Fisher information metric to a set of financial time series. We introduce Evolution Index (EI) as a measure of systemic risk in financial networks. It is shown, for concrete networks with actual data of several stock markets, that the EI can be implemented as a measure of fitness of the stock market and as a leading indicator of systemic risk.
KW - Evolution Index
KW - Financial network dynamics
KW - Fisher information metric
KW - Information flow networks analysis
KW - Minimum spanning tree
KW - Systemic risk
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U2 - 10.1016/j.physa.2015.10.012
DO - 10.1016/j.physa.2015.10.012
M3 - Article
AN - SCOPUS:84949570967
SN - 0378-4371
VL - 445
SP - 318
EP - 327
JO - Physica A: Statistical Mechanics and its Applications
JF - Physica A: Statistical Mechanics and its Applications
ER -