Build early warning indicators for economic recessions

Table of contents

• Content 🔎
• File details 📂
• Features 💻

Content

First eigenvalues: an early warning indicator for market crashes? It is an econo-physical project within the framework of the Complex Systems Theory. Can correlations between stock market assets be considered as an early signal indicator of turning points? The aim is to use financial time series (stock prices on equity markets), to calculate correlation matrix, and then to determine whether the maximum eigenvalues of the eigenvectors, associated of the matrix, make it possible to anticipate future system resilience deficiencies, or, in general, a possible regime shift in the economy. This work also aims to test the robustness of this indicator in different theoretical frameworks, through the statistical modelling of decision criteria.

File details

• codefile
  • This folder contains .sas scripts and a main launcher program.
• data
  • This folder contains the data.

Here is the project pattern:

- project
    > financial-crisis-model
        > data.zip 
        > codefile 
            - main.sas
            - sp400_script.sas
            - sp500_script.sas
            - sp600_script.sas
            - sp456_script.sas

Features

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