期刊
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷 607, 期 -, 页码 -出版社
ELSEVIER
DOI: 10.1016/j.physa.2022.128183
关键词
Fisher information; Hierarchical tree structure; Financial robustness; Variation of information
资金
- Development and Promotion of Science and Technology Talents (DPST) Project
- Thailand Research Fund [MRG6180245]
- NSRF via the Program Management Unit for Human Resources & Institutional Development, Research and Innovation [B05F640051]
This study examines the behavior of stocks in the Stock Exchange of Thailand during financial crises from 2008 to 2020. Various indicators, such as average entropy, average correlation, and average Fisher information distance, were used to analyze the dynamics of the hierarchical tree structure of stocks. The findings suggest that the Fisher information distance is a more robust indicator that provides earlier information and has a slower decay of signal-to-noise ratio.
We examine the behaviors of stocks in the Stock Exchange of Thailand (SET) during financial crises from 2008 to 2020 by using a variety of indicators such as average entropy, average correlation, and average Fisher information distance. All of these indicators increased dramatically during a financial crisis, which agreed with the Ulcer index indicating the root mean square of the percentage price drawdown. We investigate the dynamics of the hierarchical tree structure of 37 stocks in SET, using the correlation and the Fisher information distance between stocks in different time windows. The Fisher information distance is more robust, can provide earlier information, and yields a much-slower decay of signal-to-noise ratio as the averaging window size increases. As the hierarchical clustering evolves during a period of a financial crisis, its structure has lower tendency than usual to change the clusters, as evidenced by the low variation of information and anticorrelation of stocks. The dynamic hierarchical using the Fisher information distance gives less-variant clustering and can shed some insight on stock behaviors during a financial crisis.(c) 2022 Elsevier B.V. All rights reserved.
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