Information Feedback in Temporal Networks as a Predictor of Market Crashes

Figure 3

Estimated entropies , , and for all stocks and stock pairs of the 47 stocks of S&P 500 constituent companies, averaged over all companies and pairs , and subtracted from the theoretical maximum entropy. The difference corresponds to the amount of predictability of time series of financial returns from their own past, and corresponds to the amount of predictability of time series from both their past and the past of other time series—both of these quantities diminish through time.