Structural Changes on Warsaw's Stock Exchange: the end of Financial Crisis

Paweł Fiedor ()

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Abstract: In this paper we analyse the structure of Warsaw's stock market using complex systems methodology together with network science and information theory. We find minimal spanning trees for log returns on Warsaw's stock exchange for yearly times series between 2000 and 2013. For each stock in those trees we calculate its Markov centrality measure to estimate its importance in the network. We also estimate entropy rate for each of those time series using Lempel-Ziv algorithm based estimator to study the predictability of those price changes. The division of the studied stocks into 26 sectors allows us to study the changing structure of the Warsaw's stock market and conclude that the financial crisis sensu stricto has ended on Warsaw's stock market in 2012-13. We also comment on the history and the outlook of the Warsaw's market based on the log returns, their average, variability, entropy and the centrality of a stock in the dependency network.

Date: 2013-11
New Economics Papers: this item is included in nep-fmk and nep-tra
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1311.4230

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