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Information dissipation as an early-warning signal for the Lehman Brothers collapse in financial time series.

ABSTRACT: 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.

SUBMITTER: Quax R

PROVIDER: S-EPMC3667490 | biostudies-literature | 2013

REPOSITORIES: biostudies-literature

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Information dissipation as an early-warning signal for the Lehman Brothers collapse in financial time series.

Quax Rick R Kandhai Drona D Sloot Peter M A PM

Scientific reports 20130101

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 i ...[more]

PMID: 23719567

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Project description:ObjectivesTo investigate whether National Early Warning Scores (NEWS/NEWS2) could contribute to COVID-19 surveillance in care homes.Setting460 care home units using the same software package to collect data on residents, from 46 local authority areas in England.Participants6464 care home residents with at least one NEWS recording.Exposure measure29 656 anonymised person-level NEWS from 29 December 2019 to 20 May 2020 with component physiological measures: systolic blood pressure, respiratory rate, pulse rate, temperature and oxygen saturation. Baseline values for each measure calculated using 80th and 20th centile scores before March 2020.Outcome measureCross-correlation comparison of time series with Office for National Statistics weekly reported registered deaths of care home residents where COVID-19 was the underlying cause of death, and all other deaths (excluding COVID-19) up to 10 May 2020.ResultsDeaths due to COVID-19 were registered from 23 March 2020 in the local authority areas represented in the study. Between 23 March 2020 and 10 May 2020, there were 5753 deaths (1532 involving COVID-19 and 4221 other causes). We observed a rise in the proportion of above-baseline NEWS beginning 16 March 2020, followed 2 weeks later by an increase in registered deaths (cross-correlation of r=0.82, p<0.05 for a 2 week lag) in corresponding local authorities. The proportion of above-baseline oxygen saturation, respiratory rate and temperature measurements also increased approximately 2 weeks before peaks in deaths.ConclusionsNEWS could contribute to COVID-19 disease surveillance in care homes during the pandemic. Oxygen saturation, respiratory rate and temperature could be prioritised as they appear to signal rise in mortality almost as well as NEWS. This study reinforces the need to collate data from care homes, to monitor and protect residents' health. Further work using individual level outcome data is needed to evaluate the role of NEWS in the early detection of resident illness.

Dataset Information

Information dissipation as an early-warning signal for the Lehman Brothers collapse in financial time series.

Publications

Information dissipation as an early-warning signal for the Lehman Brothers collapse in financial time series.

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