Information Feedback in Temporal Networks as a Predictor of Market Crashes

Table 1

Regression analysis of the developed SCC index on the future realized market volatility, using reduced (without the SCC index ) and expanded (including ) models: without, with, and only using the interaction term , performed on both the U.S. stocks and U.S. sector index data. Coefficients significant at the 1% significance level are marked with an asterisk (). The respective adjusted measures and the Akaike information criterion (AIC) are also reported—including the AIC difference () from the null (reduced) model.

	Model	Variable coefficients					AIC ()
		Stocks	Reduced	0.1	0.0003			—	—	0.29	−5.14 · 10^4 (0)
Expanded	−0.16		0.0003	10.32	—	−0.45	−5.31 · 10^4 (−1629)
Exp. with int.	−0.16		0.0003	10.93	−0.032	0.45	−5.31 · 10^4 (−1629)
Int. only	—		—	—	0.47	0.40	−5.48 · 10^4 (−3368)
Sector indices	Reduced	−0.04	0.0003	—	—	0.22	−3.17 · 10^4 (0)
	Expanded	−0.034	0.0002	10.23	—	−0.50	−3.35 · 10^4 (−1811)
	Exp. with int.	−0.034	0.0002	10.07	0.007	0.50	−3.35 · 10^4 (−1809)
	Int. only	—	—	—	0.48	0.39	−3.49 · 10^4 (−3266)