英文标题：
《Quantifying instabilities in Financial Markets》
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作者：
Bruna Amin Gon\\c{c}alves and Laura Carpi and Osvaldo A. Rosso and
Martin G. Ravetti and A.P.F Atman
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最新提交年份：
2017
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英文摘要：
Financial global crisis has devastating impacts to economies since early XX century and continues to impose increasing collateral damages for governments, enterprises, and society in general. Up to now, all efforts to obtain efficient methods to predict these events have been disappointing. However, the quest for a robust estimator of the degree of the market efficiency, or even, a crisis predictor, is still one of the most studied subjects in the field. We present here an original contribution that combines Information Theory with graph concepts, to study the return rate series of 32 global trade markets. Specifically, we propose a very simple quantifier that shows to be highly correlated with global financial instability periods, being also a good estimator of the market crisis risk and market resilience. We show that this estimator displays striking results when applied to countries that played central roles during the last major global market crisis. The simplicity and effectiveness of our quantifier allow us to anticipate its use in a wide range of disciplines.
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中文摘要：
自二十世纪初以来，全球金融危机对经济产生了毁灭性影响，并继续对政府、企业和社会造成越来越多的附带损害。到目前为止，为获得预测这些事件的有效方法所做的一切努力都令人失望。然而，寻求市场效率程度的稳健估计，甚至危机预测，仍然是该领域研究最多的课题之一。本文将信息论与图论概念相结合，研究32个全球贸易市场的收益率序列。具体而言，我们提出了一个非常简单的量词，该量词与全球金融不稳定时期高度相关，同时也是市场危机风险和市场弹性的良好估计值。我们表明，当应用于在上一次重大全球市场危机中发挥核心作用的国家时，该估计值显示出惊人的结果。量词的简单性和有效性使我们能够预测它在各种学科中的使用。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Computer Science 计算机科学
二级分类：Information Theory 信息论
分类描述：Covers theoretical and experimental aspects of information theory and coding. Includes material in ACM Subject Class E.4 and intersects with H.1.1.
涵盖信息论和编码的理论和实验方面。包括ACM学科类E.4中的材料，并与H.1.1有交集。
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一级分类：Mathematics 数学
二级分类：Information Theory 信息论
分类描述：math.IT is an alias for cs.IT. Covers theoretical and experimental aspects of information theory and coding.
它是cs.it的别名。涵盖信息论和编码的理论和实验方面。
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