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arXiv 1402.4047q-fin.ST
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金融市场灾难性分叉转变的经验症状:一种现象学方法

Empirical symptoms of catastrophic bifurcation transitions on financial markets: A phenomenological approach

M. Kozłowska, T. Gubiec, T. R. Werner, M. Denys, A. Sienkiewicz, R. Kutner, Z. Struzik

摘要:

这项工作的主要目的是证据的经验方法,灾难性的分叉故障或过渡,进行闪烁现象,是目前臭名昭著的重大和不可预测的金融市场。总的来说,在这项工作中,我们开发了各种指标与灾难性的分叉过渡,特别是灾难性的减速(类似于临界减速)。所有这些都是在一个明确定义的小、中、大资本化的金融市场的例子中考虑的。灾难性的分叉过渡似乎与金融市场是否存在预警信号的问题有关。这个问题继续吸引着研究界和公众。有趣的是,这种早期预警信号最近被确定并解释为在多个物理系统中观察到的灾难性分叉过渡现象的结果,例如在生态系统、气候动力学和医学(癫痫发作和哮喘发作)中。在目前的工作中,我们提供了一个类似的,积极的识别这种现象,通过检查其几个不同的指标在一个定义明确的日常泡沫的背景下,这种泡沫是由最近的全球金融危机引起的典型的金融市场的小型和中型到大型资本。

英文摘要:

The principal aim of this work is the evidence on empirical way that catastrophic bifurcation breakdowns or transitions, proceeded by flickering phenomenon, are present on notoriously significant and unpredictable financial markets. Overall, in this work we developed various metrics associated with catastrophic bifurcation transitions, in particular, the catastrophic slowing down (analogous to the critical slowing down). All these things were considered on a well-defined example of financial markets of small and middle to large capitalization. The catastrophic bifurcation transition seems to be connected with the question of whether the early-warning signals are present in financial markets. This question continues to fascinate both the research community and the general public. Interestingly, such early-warning signals have recently been identified and explained to be a consequence of a catastrophic bifurcation transition phenomenon observed in multiple physical systems, e.g. in ecosystems, climate dynamics and in medicine (epileptic seizure and asthma attack). In the present work we provide an analogical, positive identification of such phenomenon by examining its several different indicators in the context of a well-defined daily bubble; this bubble was induced by the recent worldwide financial crisis on typical financial markets of small and middle to large capitalization.

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