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首页> 外文期刊>Journal of Business Research >Financial crises: Uncovering self-organized patterns and predicting stock markets instability
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Financial crises: Uncovering self-organized patterns and predicting stock markets instability

机译：金融危机：揭开自组织模式，预测股市不稳定

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摘要

Financial markets are complex systems where investors interact using competing strategies that generate behaviours in which herding and positive feedbacks may lead to endogenous instabilities. This paper develops a novel methodology to detect the emergence of such phases by quantifying the intensity of self-organizing processes arising from stock returns' co-movements and self-similarities. Our methodology identifies a group of stocks, the Leading Temporal Module, whose statistical properties reflect the transition of the market into a crisis state. We define a topological indicator of the emergence of market discontinuity based on the autocovariance of the stocks in the Leading Temporal Module and on the ratio between the stocks' correlations within this group and the correlations between these stocks and those outside the leading module. This indicator provides early-warning market signals useful for policy-makers and investors by mapping the evolution of the topological properties of the leading module in different points in time.
机译：金融市场是复杂的系统，投资者使用竞争策略进行互动，产生放牧和积极反馈可能导致内源性不稳定性的行为。本文通过量化股票回报的共同运动和自我相似度的自组织过程的强度，制定了一种新的方法来检测这些阶段的出现。我们的方法识别一组股票，领先的时间模块，其统计属性将市场转变为危机状态。我们根据领先的时间模块中的股票的自电胞统一以及本组中的股票相关性与领先模块外部之间的相关性以及领先模块之外的相关性的比例，定义了市场不连续性的出现的拓扑指标。该指标提供了通过在不同点状点的拓扑特性的演变中绘制了政策制定者和投资者的预警市场信号。

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  • 来源
    《Journal of Business Research》 |2021年第5期|736-756|共21页
  • 作者

    Spelta A.; Flori A.; Pecora N.; Pammolli F.;

  • 作者单位

    Univ Pavia Dept Econ & Management Via San Felice Al Monastero 5 I-27100 Pavia Italy|Ctr Anal Decis & Soc CADS Human Technopole Milan Italy;

    Politecn Milan Dept Management Econ & Ind Engn Via Lambruschini 4-B I-20156 Milan Italy;

    Catholic Univ Dept Econ & Social Sci Via Emilia Parmense 84 I-29122 Piacenza Italy;

    Ctr Anal Decis & Soc CADS Human Technopole Milan Italy|Politecn Milan Dept Management Econ & Ind Engn Via Lambruschini 4-B I-20156 Milan Italy;

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  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

    Complex systems; Financial markets; Herding behavior; Early-warning indicator;

    机译：复杂系统;金融市场;掠夺行为;早期预警指标;

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