英文标题：
《Quantitative evaluation of consecutive resilience cycles in stock market
performance: A systems-oriented approach》
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作者：
Junqing Tang, Hans R. Heinimann
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最新提交年份：
2019
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英文摘要：
Financial markets can be seen as complex systems that are constantly evolving and sensitive to external disturbance, such as systemic risks and economic instabilities. Analysis of resilient market performance, therefore, becomes useful for investors. From a systems perspective, this paper proposes a novel function-based resilience metric that considers the effect of two fault-tolerance thresholds: the Robustness Range (RR) and the Elasticity Threshold (ET). We examined the consecutive resilience cycles and their dynamics in the performance of two stock markets, NASDAQ and SSE. The proposed metric was also compared with three well-documented resilience models. The results showed that this new metric could satisfactorily quantify the time-varying resilience cycles in the multi-cycle volatile performance of stock markets while also being more feasible in comparative analysis. Furthermore, analysis of dynamics revealed that those consecutive resilience cycles in market performance were distributed non-linearly, following a power-law behavior in the upper tail. Finally, sensitivity tests demonstrated the large-value resilience cycles were relatively sensitive to changes in RR. In practice, RR could indicate investors\' psychological capability to withstand downturns. It supports the observation that perception on the market\'s resilient responses may vary among investors. This study provides a new tool and valuable insight for researchers, practitioners, and investors when evaluating market performance.
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中文摘要：
金融市场可以被视为不断演变的复杂系统，对系统性风险和经济不稳定等外部干扰非常敏感。因此，对弹性市场表现的分析对投资者很有用。从系统的角度出发，本文提出了一种新的基于函数的弹性度量，该度量考虑了两个容错阈值的影响：鲁棒性范围（RR）和弹性阈值（ET）。我们考察了纳斯达克（NASDAQ）和苏格兰和南方能源公司（SSE）两个股票市场的连续弹性周期及其动态表现。此外，还将拟议指标与三个有充分记录的弹性模型进行了比较。结果表明，这一新指标可以令人满意地量化股市多周期波动表现中的时变弹性周期，同时在比较分析中也更具可行性。此外，动力学分析表明，市场表现中连续的弹性周期呈非线性分布，遵循上尾的幂律行为。最后，敏感性测试表明，大值弹性周期对RR的变化相对敏感。在实践中，RR可以表明投资者承受衰退的心理能力。它支持这样一种观点，即投资者对市场弹性反应的看法可能会有所不同。这项研究为研究人员、从业者和投资者评估市场绩效提供了新的工具和有价值的见解。
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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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