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arXiv · 1310.8169

Predicting trend reversals using market instantaneous state

Thomas Bury
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Abstract

Collective behaviours taking place in financial markets reveal strongly correlated states especially during a crisis period. A natural hypothesis is that trend reversals are also driven by mutual influences between the different stock exchanges. Using a maximum entropy approach, we find coordinated behaviour during trend reversals dominated by the pairwise component. In particular, these events are predicted with high significant accuracy by the ensemble's instantaneous state.

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Thomas Bury. 2014-03-03. Predicting trend reversals using market instantaneous state. https://doi.org/10.1016/j.physa.2014.02.044

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