可见性图表和股票崩溃的前兆

V. Soloviev, V. Solovieva, A. Tuliakova
{"title":"可见性图表和股票崩溃的前兆","authors":"V. Soloviev, V. Solovieva, A. Tuliakova","doi":"10.33111/nfmte.2019.003","DOIUrl":null,"url":null,"abstract":"Based on the network paradigm of complexity, a systematic analysis of the dynamics of the largest stock markets in the world has been carried out in the work. According to the algorithm of the visibility graph, the daily values of stock indices are converted into a network, the spectral and topological properties of which are sensitive to the critical and crisis phenomena of the studied complex systems. It is shown that some of the spectral and topological characteristics can serve as measures of the complexity of the stock market, and their specific behaviour in the pre-crisis period is used as indicators-precursors of crisis phenomena. The influence of globalization processes on the world stock market is taken into account by calculating the interconnection (multiplex) measures of complexity, which modifies in some way, but does not change the fundamentally predictive possibilities of the proposed indicators-precursors.","PeriodicalId":300314,"journal":{"name":"Neuro-Fuzzy Modeling Techniques in Economics","volume":"6 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2019-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"8","resultStr":"{\"title\":\"Visibility graphs and precursors of stock crashes\",\"authors\":\"V. Soloviev, V. Solovieva, A. Tuliakova\",\"doi\":\"10.33111/nfmte.2019.003\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Based on the network paradigm of complexity, a systematic analysis of the dynamics of the largest stock markets in the world has been carried out in the work. According to the algorithm of the visibility graph, the daily values of stock indices are converted into a network, the spectral and topological properties of which are sensitive to the critical and crisis phenomena of the studied complex systems. It is shown that some of the spectral and topological characteristics can serve as measures of the complexity of the stock market, and their specific behaviour in the pre-crisis period is used as indicators-precursors of crisis phenomena. The influence of globalization processes on the world stock market is taken into account by calculating the interconnection (multiplex) measures of complexity, which modifies in some way, but does not change the fundamentally predictive possibilities of the proposed indicators-precursors.\",\"PeriodicalId\":300314,\"journal\":{\"name\":\"Neuro-Fuzzy Modeling Techniques in Economics\",\"volume\":\"6 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-10-17\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"8\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Neuro-Fuzzy Modeling Techniques in Economics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.33111/nfmte.2019.003\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Neuro-Fuzzy Modeling Techniques in Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.33111/nfmte.2019.003","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 8

摘要

基于复杂性的网络范式,对世界上最大的股票市场的动态进行了系统的分析。根据可见图算法,将股票指数的日值转化为一个网络,该网络的谱和拓扑特性对所研究的复杂系统的临界和危机现象敏感。研究表明,一些频谱和拓扑特征可以作为股票市场复杂性的度量,它们在危机前时期的具体行为被用作危机现象的指标-前兆。全球化进程对世界股票市场的影响是通过计算复杂性的相互联系(多重)度量来考虑的,这在某种程度上修改了,但没有改变所提议的指标-前体的根本预测可能性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Visibility graphs and precursors of stock crashes
Based on the network paradigm of complexity, a systematic analysis of the dynamics of the largest stock markets in the world has been carried out in the work. According to the algorithm of the visibility graph, the daily values of stock indices are converted into a network, the spectral and topological properties of which are sensitive to the critical and crisis phenomena of the studied complex systems. It is shown that some of the spectral and topological characteristics can serve as measures of the complexity of the stock market, and their specific behaviour in the pre-crisis period is used as indicators-precursors of crisis phenomena. The influence of globalization processes on the world stock market is taken into account by calculating the interconnection (multiplex) measures of complexity, which modifies in some way, but does not change the fundamentally predictive possibilities of the proposed indicators-precursors.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
CiteScore
1.70
自引率
0.00%
发文量
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信