英文标题：
《Estimating Tipping Points in Feedback-Driven Financial Networks》
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作者：
Zvonko Kostanjcar, Stjepan Begusic, H. E. Stanley, and Boris Podobnik
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最新提交年份：
2015
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英文摘要：
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 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 in a market crash. The probability that the index will drop in the next year exhibits a strong hysteresis behavior from which we calculate the tipping point. 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 demonstate that the financial data exhibits a hysteresis and a tipping point that agree with the model predictions. We report a cointegration between the returns of the S&P 500 index and its intrinsic value.
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中文摘要：
许多研究表明，复杂系统经历相变的临界点很难确定。为了检验金融市场是否存在引爆点，基于交替报价战略模型，我们提出了一个讨价还价代理人网络，他们要么相互合作，要么交易和价格动态之间的反馈机制由外部“隐藏”变量R驱动，该变量量化了市场定价过高的程度。由于反馈机制，R会随着时间的推移而波动和振荡，因此市场被低估和高估的时期会反复出现。随着市场定价过高，泡沫就会产生，最终在市场崩盘时破裂。该指数在明年下跌的可能性表现出强烈的滞后行为，我们据此计算临界点。R的概率分布函数具有临界点附近小系统的双峰形状特征。通过检验标准普尔500指数，我们说明了该模型的适用性，并证明金融数据表现出与模型预测一致的滞后和转折点。我们报告了标准普尔500指数的收益与其内在价值之间的协整关系。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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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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