Long-term recurrence patterns in the late 2000 economic crisis: Evidences from entropy analysis of the Dow Jones index

Jose Alvarez-Ramirez; Eduardo Rodriguez

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Long-term recurrence patterns in the late 2000 economic crisis: Evidences from entropy analysis of the Dow Jones index

机译：2000年末经济危机中的长期复发模式：来自道琼斯指数的熵分析的证据

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The depth (4.5% US GDP decline and 9.5% stable unemployment) and duration (more than two years) of the present global economic recession have suggested to many researchers and practitioners to think that it is singular relative to previous recession that occurred in the aftermath of the World War II. It has been argued that the singularity of the late 2000 crises arises from non-precedent components, such as globalization and a dominant financial system equipped with exotic instruments (e.g., derivatives) designed from highly specialized mathematical theories. This paper uses the historic (1928-2010) Dow Jones index analyzed with informational entropy methods to show the presence of recurrent cycles with dominant periods of 4.5 and 22 years. For time series, entropy is a measure of the diversity of patterns for given time scales. In this form, the higher the entropy, the more complex the underlying system dynamics. It is shown that the present economic downturn coincides with the occurrence of a 22-year cycle in the entropy dynamics of the Dow Jones index. It suggests that the crisis is not singular, but its origin can be also explained from recurrent long-term patterns. Implications of the empirical results for the evolution of the late 2000 crisis and the potential aftermath courses of the global economy are discussed.

机译：当前全球经济衰退的深度（美国GDP下降4.5％，稳定失业率9.5％）和持续时间（超过两年）向许多研究人员和从业人员表明，相对于事后发生的先前衰退，它是单一的第二次世界大战。有人认为，2000年末危机的奇异性源于非先例的组成部分，例如全球化和配备有根据高度专业化数学理论设计的奇异工具（例如衍生工具）的主导金融系统。本文使用历史性（1928-2010年）道琼斯指数（Dow Jones index），通过信息熵方法进行分析，以显示存在周期为4.5年和22年的循环周期。对于时间序列，熵是给定时间尺度下模式多样性的度量。在这种形式下，熵越高，底层系统动力学越复杂。研究表明，当前的经济下滑与道琼斯指数的熵动力的22年周期相吻合。这表明危机不是单一的，但危机的根源也可以用长期的周期性模式来解释。讨论了经验结果对2000年末危机的演变以及全球经济潜在后果过程的影响。

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来源
《Technological forecasting and social change》 |2011年第8期|p.1332-1344|共13页
作者
Jose Alvarez-Ramirez; Eduardo Rodriguez;
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作者单位

Departamento de Economia, Unidad lztapalapa, Universidad Autonoma Metropolitana, Apartado Postal 55-534, Mexico D.F. 09340, Mexico;

Departamento de Computation, Unidad lztapalapa, Universidad Autonoma Metropolitana, Apartado Postal 55-534, Mexico D.F. 09340, Mexico;

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收录信息美国《科学引文索引》(SCI);美国《工程索引》(EI);
原文格式 PDF
正文语种 eng
中图分类
关键词
dow jones index; multiscale entropy pattern; economic recessions;

机译：道琼斯指数多尺度熵模式经济衰退;

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Long-term recurrence patterns in the late 2000 economic crisis: Evidences from entropy analysis of the Dow Jones index

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