Research on Monitoring Method of Stock Market Systematic Crash Based on Market Transaction Data

IF 3.6 3区管理学 Q2 COMPUTER SCIENCE, INFORMATION SYSTEMS

Journal of Organizational and End User Computing Pub Date : 2023-06-01 DOI:10.4018/joeuc.324062

Y. Li, Zhan-Wen Li

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引用次数: 0

Abstract

Sharp rises and falls in stock prices have become increasingly frequent in recent years. Stock market crashes bring great risks to the stability of the securities markets. Using recurrence plot theory and a heuristic segmentation algorithm for detecting abrupt changes in nonlinear time series, this study investigates the problem of detecting abrupt endogenous structural changes before a stock market crash. Based on an analysis of crash events in 12 developed and 10 emerging countries and regions, the authors find the following: (1) The market laminar flow (LAM) value will fall greatly before a stock market crash; (2) the LAM sequence of the US stock market during the 2008 financial crisis presents a fractal-like self-similar structure, and blank bands appears in the recurrence plot, indicating a phase transition in the LAM sequence before the crash; and. (3) using a heuristic segmentation algorithm to detect abrupt changes in nonlinear time series, this study finds that before a crash, the endogenous structure of the market continuously experiences abnormal abrupt changes, and abnormal abrupt change time.

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基于市场交易数据的股市系统性崩盘监测方法研究

近年来，股票价格的急剧涨跌变得越来越频繁。股灾给证券市场的稳定带来很大的风险。利用递归图理论和启发式分割算法检测非线性时间序列的突变，研究了股市崩盘前内生结构突变的检测问题。通过对12个发达国家和10个新兴国家和地区的股灾事件分析，发现:(1)股灾发生前，市场层流(LAM)值会大幅下降;(2) 2008年金融危机期间美国股市的LAM序列呈现分形自相似结构，在递归图中出现空白带，表明崩盘前LAM序列出现相变;和。(3)利用启发式分割算法检测非线性时间序列的突变，研究发现，在崩盘前，市场内生结构连续发生异常突变，且异常突变时间。

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来源期刊

Journal of Organizational and End User Computing COMPUTER SCIENCE, INFORMATION SYSTEMS-

CiteScore

6.00

自引率

9.20%

发文量

期刊介绍： The Journal of Organizational and End User Computing (JOEUC) provides a forum to information technology educators, researchers, and practitioners to advance the practice and understanding of organizational and end user computing. The journal features a major emphasis on how to increase organizational and end user productivity and performance, and how to achieve organizational strategic and competitive advantage. JOEUC publishes full-length research manuscripts, insightful research and practice notes, and case studies from all areas of organizational and end user computing that are selected after a rigorous blind review by experts in the field.