觀點央行

Market pressure gauge flashes a red alert

Back in August 2007, when I was heading Merrill Lynch’s Europe, the Middle East and Africa division, there was a day when the markets defied logic. Equity prices shot up while the spreads on some riskier bonds also widened. Debt should not become more expensive at the same time as share prices are rising. My gut told me that a crisis was imminent so I adjusted our books significantly and dramatically.

I would not have had to rely on my instincts if I had known then what I know now about the phenomenon called network effects. The activity in complex spiderwebs of companies, investors and asset classes can have a strong predictive effect. So Dan Nicolau, a mathematician and medical doctor, and I have been working together to tap this potential.

At the moment, market analysts examine company-specific factors and macro economic and political factors. But, until recently, they have lacked the tools to analyse how all these factors interact and what they might be telling us about future market movements.

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