Nalazite se na CroRIS probnoj okolini. Ovdje evidentirani podaci neće biti pohranjeni u Informacijskom sustavu znanosti RH. Ako je ovo greška, CroRIS produkcijskoj okolini moguće je pristupi putem poveznice www.croris.hr
izvor podataka: crosbi

Estimating Tipping Points in Feedback-Driven Financial Networks (CROSBI ID 230880)

Prilog u časopisu | izvorni znanstveni rad | međunarodna recenzija

Kostanjčar, Zvonko ; Begušić, Stjepan ; Stanley, H. Eugene ; Podobnik, Boris Estimating Tipping Points in Feedback-Driven Financial Networks // IEEE Journal of Selected Topics in Signal Processing, 10 (2016), 6; 1040-1052. doi: 10.1109/JSTSP.2016.2593099

Podaci o odgovornosti

Kostanjčar, Zvonko ; Begušić, Stjepan ; Stanley, H. Eugene ; Podobnik, Boris

engleski

Estimating Tipping Points in Feedback-Driven Financial Networks

Much research has been conducted arguing that tipping points at which complex systems experience phase transitions are difficult to identify. To test the existence of tipping points in financial markets, based on the alternating offer strategic model we propose a network of bargaining agents who mutually either cooperate or compete, where the feedback mechanism between trading and price dynamics is driven by an external “hidden” variable R that quantifies the degree of market overpricing. Due to the feedback mechanism, R fluctuates and oscillates over time, and thus periods when the market is underpriced and overpriced occur repeatedly. As the market becomes overpriced, bubbles are created that ultimately burst as the market reaches a crash tipping point R_c . The market starts recovering from the crash as a recovery tipping point R_r is reached. The probability that the index will drop in the next year exhibits a strong hysteresis behavior very much alike critical transitions in other complex systems. The probability distribution function of R has a bimodal shape characteristic of small systems near the tipping point. By examining the S&P500 index we illustrate the applicability of the model and demonstrate that the financial data exhibit tipping points that agree with the model. We report a cointegration between the returns of the S&P 500 index and its intrinsic value.

Complex systems ; Cooperative game theory ; Feedback ; Market crash ; Networks

nije evidentirano

nije evidentirano

nije evidentirano

nije evidentirano

nije evidentirano

nije evidentirano

Podaci o izdanju

10 (6)

2016.

1040-1052

objavljeno

1932-4553

10.1109/JSTSP.2016.2593099

Povezanost rada

Fizika, Elektrotehnika, Računarstvo

Poveznice
Indeksiranost