文章基本信息

标题：Information dissipation as an early-warning signal for the Lehman Brothers collapse in financial time series
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作者：Rick Quax ; Drona Kandhai ; Peter M. A. Sloot 等
期刊名称：Scientific Reports
电子版ISSN：2045-2322
出版年度：2013
卷号：3
DOI：10.1038/srep01898
出版社：Springer Nature
摘要：In financial markets, participants locally optimize their profit which can result in a globally unstable state leading to a catastrophic change. The largest crash in the past decades is the bankruptcy of Lehman Brothers which was followed by a trust-based crisis between banks due to high-risk trading in complex products. We introduce information dissipation length (IDL) as a leading indicator of global instability of dynamical systems based on the transmission of Shannon information, and apply it to the time series of USD and EUR interest rate swaps (IRS). We find in both markets that the IDL steadily increases toward the bankruptcy, then peaks at the time of bankruptcy, and decreases afterwards. Previously introduced indicators such as ‘critical slowing down’ do not provide a clear leading indicator. Our results suggest that the IDL may be used as an early-warning signal for critical transitions even in the absence of a predictive model.