英文标题：
《Forecasting Financial Extremes: A Network Degree Measure of
Super-exponential Growth》
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作者：
Wanfeng Yan and Edgar van Tuyll van Serooskerken
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最新提交年份：
2015
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英文摘要：
Investors in stock market are usually greedy during bull markets and scared during bear markets. The greed or fear spreads across investors quickly. This is known as the herding effect, and often leads to a fast movement of stock prices. During such market regimes, stock prices change at a super-exponential rate and are normally followed by a trend reversal that corrects the previous over reaction. In this paper, we construct an indicator to measure the magnitude of the super-exponential growth of stock prices, by measuring the degree of the price network, generated from the price time series. Twelve major international stock indices have been investigated. Error diagram tests show that this new indicator has strong predictive power for financial extremes, both peaks and troughs. By varying the parameters used to construct the error diagram, we show the predictive power is very robust. The new indicator has a better performance than the LPPL pattern recognition indicator.
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中文摘要：
股市投资者通常在牛市时贪婪，在熊市时害怕。贪婪或恐惧迅速蔓延到投资者身上。这被称为羊群效应，通常会导致股价快速波动。在这种市场机制下，股票价格以超指数的速度变化，随后通常会出现趋势逆转，纠正之前的过度反应。在本文中，我们通过测量价格时间序列生成的价格网络的程度，构建了一个衡量股票价格超指数增长幅度的指标。调查了12种主要的国际股票指数。误差图测试表明，这一新指标对金融极端情况具有很强的预测能力，无论是高峰还是低谷。通过改变用于构建误差图的参数，我们证明了预测能力是非常鲁棒的。新的指示器比LPPL模式识别指示器具有更好的性能。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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